sex and science how professor gender perpetuates the gender gap nber working paper seriessex and science how professor gender perpetuates the gender gapscott e carrellmarianne e pagejames e westworking paper 14959http www nber org papers w14959national bureau of economic research1050 massachusetts avenuecambridge ma 02138may 2009thanks go to usafa personnel j putnam d stockburger r schreiner k carson and p eglestonfor assistance in obtaining the data and to deb west for data entry thanks also go to charlie brown charles clotfelter caroline hoxby deborah niemeier kim shauman catherine weinberger andseminar participants at nber higher education working group ppic sdsu uc davis uc irvine and uc santa cruz for their helpful comments and suggestions the views expressed in this articleare those of the authors and do not necessarily reflect the official policy or position of the usaf dod the u s government or the national bureau of economic research 2009 by scott e carrell marianne e page and james e west all rights reserved short sectionsof text not to exceed two paragraphs may be quoted without explicit permission provided that fullcredit including notice is given to the source

can tax loss selling explain the january seasonal in stock returns this paper analyzes the tax loss selling hypothesis as an explanation of the january seasonal in stock returns and argues that rational tax loss selling implies little relation between the january seasonal and the long term loss empirical results show that the january seasonal is as strongly related to the long term loss as it is to the short term loss the evidence is inconsistent with a model that explains the january seasonal by optimal tax trading

innovation and diffusion in small firms theory and evidence the article provides an inventory of the strengths and weaknesses of small firms in a dynamic context to do this it considers verbal accounts of the processes of innovation and diffusion as well as quantitative studies testing cause effect relations it consider both economic and noneconomic factors concerning issues of motivation perception and knowledge first an overall summary is given of the characteristics of small business compared with large business as a basis for an assessment of strengths and weaknesses perhaps the most important characteristic of small business is its diversity and the article gives the conditions and sources of it other core characteristics are small scale personality and independence of the small firm from these derived characteristics strengths and weaknesses and core strategies can be inferred from the perspective of the firm strengths and weaknesses are subsequently analysed for the successive stages of innovation invention development tooling production introduction to practice market strengths and weaknesses in diffusion are analysed for the successive stages in the adoption process as proposed by rogers reference is made to theory and to empirical studies from the literature and from research by the present author

portfolio rebalancing and the turn of the year effect this paper finds that for the 1935 1986 period the market s risk return relation does not have a january seasonal the findings differ from those of other studies due to the use of value weighted rather than equally weighted portfolios inferences are sensitive to the weighting procedure because of the small firm return patterns in january in particular even in those januaries for which the market return is negative small firm returns are positive and they are more positive the higher is beta this is consistent with the portfolio rebalancing explanation of the turn of the year effect since at least 1926 the average return on small firms in january has been unusually high a phenomenon known as the turn of the year effect in this paper we present new evidence regarding the risk return characteristics of small firms in january we find that for small firms there is a positively sloped riskreturn relation in both up and down markets this pattern is difficult to reconcile with the belief that the high return on small firms in january is equilibrium compensation for risk bearing we show how these patterns in small firms returns have led others to conclude that the market s risk return relation has a january seasonal in particular rozeff and kinney 21 and tinic and west 22 23 among others using equally weighted portfolios formed on the basis of historical betas have found a steeper slope for the capm s risk return relation in january than in other months we demonstrate that this pattern exists only for small firms consequently statistical inferences about the risk return relation are heavily dependent upon whether equally weighted or value weighted portfolio returns are used in the estimation we show that for 1935 86 when monthly cross sectional regressions are estimated using value weighted portfolio returns there is no more of a statistically significant difference in the estimated return to risk bearing in january than in the other eleven months of the year the notion that there is a january seasonal in the capm s risk return relation for the us has rapidly become accepted knowledge for example corhay hawawini and michel 6 accept this conclusion and investigate whether other

the explanatory power of the market model an international comparison the various published studies of the market model and the capital asset pricing model are examined with the objective of seeing if any pattern emerges in terms of its explanatory power r 2 and the various circumstances specific to each study several factors are identified as being associated with high values of r 2in these studies

the economic psychology of stock market bubbles in china the chinese stock markets were extremely volatile during the period 2005 08 the shanghai stock exchange sse composite index increased more than sixfold from 1 012 in 2005 to 6 124 by the end of 2007 it then declined continuously to reach a low of 1 929 on 17 september 2008 or a drop of 70 per cent from its peak in less than 10 months although the market downturn may have been affected by the financial crisis in the united states and the rest of the world the extreme fluctuations of stock prices signify a big market bubble and the burst of that bubble must be explained by intrinsic characteristics or the economic psychology of chinese investors based on a detailed market data analysis this paper attributes the development of the stock market bubble to three key psychological factors greed envy and speculation and the burst of the bubble to three contrasting factors fear lack of confidence and disappointment it concludes that only after chinese companies become really commercialised and profitable and investors become rational can the stock markets become stable without extreme volatility as seen in the past government policies can play a role in soothing market volatility detrimental to shareholders and the wider economy but investors should not depend on government for making their own investment decisions journal compilation 2009 blackwell publishing ltd

further international evidence on asset pricing the case of the spanish capital market abstract a multivariate framework is used in order to study the price formation of risky assets in the spanish capital market issues regarding the efficiency of the spanish value weighted stock market index the validity of equilibrium considerations the size effect and the nature of the return generating process during january are analyzed

macroeconomic seasonality and the january effect many financial markets researchers have sought an explanation for the role of january in stock returns any explanation of this phenomenon that is consistent with rational pricing must specify a source of seasonality in expected returns the pervasive seasonality in the macroeconomy is an appealing possibility a multifactor model that links macroeconomic risk to expected return is found to show substantial seasonality in expected returns this model accounts for the seasonality in average returns while the capital asset pricing model cannot copyright 1994 by american finance association

normal costs and demand effects in price setting a study of retailing the study aims at contributing to the debate whether there are demand effects in models that seek to explain prices as mark ups on costs for costs it considers actual costs normal costs and an intermediate model with a partial adjustment to the deviation of actual from normal costs for demand effects it considers an effect on the price level of a change of demand with an allowance for asymmetry between demand growth and demand decline tests and estimates are conducted on the basis of data from retailing

seasonality in dynamic regression models this paper examines the implications of treating seasonality as an unobserved component which changes slowly over time this approach simplifies the specification of dynamic relationships by separating non seasonal from seasonal factors we illustrate this approach using the consumption model of davidson et al 1978 and estimate a stable error correction model between consumption income and prices over the period 1958 92 more generally we argue that autoregressive models are unlikely to successfully model slowly changing seasonality and may confound seasonal effects with the dynamic responses of prime interest our approach can be used in a wide range of cases and we show that there is little loss in efficiency even if seasonality is deterministic

errors in recorded security prices and the turn of the year effect errors in recorded security prices are a source of misspecification in the market model if recorded price errors are sufficiently nonrandom they result in biased returns and in biased and inconsistent estimates of market model regression coefficients this paper argues that tax induced flow supply pressures cause end of the year recorded price errors to be nonrandom enough to create the appearance of anomalous turn of the year stock return behavior empirical tests of returns and market model regression coefficients during the turn of the year period cannot reject this errors in variables explanation of the turn ofthe year effect the turn of the year toy effect or january effect refers to the anomal ous behavior of stock returns during the last five trading days in december and the first five trading days in january this anomaly is of particular interest to financial researchers because it appears to be a small firm effect and the source of the majority of size related anomalies see keim 1985 reinganum 1981 and roll 1983a 1983b the interest in the toy effect is justified because of its implications concerning the validity of the capital asset pricing model capm and market efficiency in this paper we show that there is a price related effect operating during the toy period first we show that the magnitude of the toy return is inversely related to price when we control for price most of the size related toy effect found by reinganum 1983 and roll 1983a disappears second the data indicate that all firms have unusually high returns during the toy period compared with their returns during the rest of the year third we find seasonal shifts in the market model betas associated with the toy period furthermore we test the hypothesis that the toy effect is an errors in variables problem due to the use of the one eighth pricing convention in recording security prices and the accommodation of tax induced flow pressures by liquidity traders such as market

concentration of marketing channels and brand level retailer margins evidence from japan this article investigates the impacts of marketing channel concentration at each distributive channel stage on brand level retailer gross margins a unique official japanese dataset the national survey of prices which reports brand level wholesale prices as well as retail prices of national brand items in various consumer product categories enables us to estimate the retail margin directly for each specified brand the most notable conclusion is that an inverse relationship is found between brand level retailer margins and the degree of wholesaler concentration which is consistent with empirical results in previous marketing and economic studies that investigated the impacts of manufacturer concentration on category level retailer margins

subject of degree and the gender wage differential evidence from the uk and germany abstract we show that controlling for subject of degree explains a significant part of the male female gender wage differential amongst graduates using data from the labour force surveys of the united kingdom and germany we find similar results in these two countries subject of degree explains about 2 4 higher wages of male over female graduates after controlling for age industry region part time and public sector employment this is a significant part between 8 and 20 of the overall male female gender wage gap and an even larger amount of the part explained by factors entered into wage equations at around 24 30 of the explained component

risk return and equilibrium a revisit this paper reports the results of tests of the major implications of the two parameter capital asset pricing model the findings indicate that the relationship between stock returns and systematic risk contains important nonlinearities during 1935 82 these nonlinearities cannot be ascribed to previously documented anomalies related to firm size or january seasonality moreover the test results appear to be sensitive to the choice of the proxy for the market portfolio

gender achievement and subject choice in english education in common with other oecd countries there is a gender gap in educational achievement in england favouring girls this carries through to tertiary education on the other hand boys are far more likely to engage in stem in post 16 vocational education and at university the underachievement of boys overall but over representation in stem presents significant challenges for policy this paper documents changes in the gender gap over the last 20 years in england and discusses findings in the light of international evidence it concludes that education policies in academic and in vocational spheres can be designed to reduce gender inequalities that exist in both

retail margins during recession and growth the influence of consumer spending on retail price setting behaviour is investigated in the context of a theory developed in previous research the results indicate that the effect is not the same for growth and decline of spending

the turn of the year in canada a number of investigators have reported that january stock returns in the u s exceed returns for other months of the year this paper documents a similar finding for canadian stocks over the period 1951 1980 however canada did not introduce a capital gains tax until 1973 and the paper reports that january returns in canada exceed returns for other months of the year before and after this date thus these data do not support the tax loss selling pressure hypothesis as the entire explanation for the turnof the year effect in stock returns nor by implication do they support the tax lossselling pressure hypothesis as the complete explanation for the small firm effect in u s stocks returns recently keim 9 has reported that returns on nyse and ase firms with small market values exceed by significant margins returns on firms with large market values this result was previously reported by banz 1 and reinganum 11 but keim s analysis shows that most of the excess return for small firms is concentrated in january indeed it is concentrated in the first two weeks in january roll 13 also documents this phenomenon and investigates a number of possible explanations for it 2 after rejecting several possible nonexploitable explanations roll is left with year end tax loss selling pressure of the sort discussed by branch 2 dyl 5 and givoly and ovadia 6 as the most likely explanation of this result according to the tax loss selling pressure hypothesis toward the end of the year stockholders sell stocks that have declined in price during the year investors do this to take advantage of the opportunity to write off capital losses against ordinary income in computing their federal income taxes the year end sell off exerts downward pressure on stock prices as soon as the tax and calendar year ends the selling pressure is relieved and stock prices quickly rebound to their equilibrium levels roll 13 presents some evidence consistent with this hypothesis specifically he finds a negative correlation between stock returns in january and returns over the previous 12 months that is stocks that decrease in value during the year tend to be big gainers in january roll also finds that

gender and student achievement in english schools in the uk there is a marked gender gap in the educational attainment of boys and girls at the end of compulsory education 10 per cent fewer boys achieve 5 or more good gcses this gap is by no means confined to gcse it is evident at all key stages furthermore some indicators suggest that the gap has widened over time in this paper we document the evolution of the gender gap at various stages of compulsory education in england we consider the importance of some possible explanations for the gender gap in particular factors that may explain the observed changes over time analysis of this issue is important in the context of research on the gender wage gap however it also raises policy relevant issues in relation to whether changes in the school system can effect a change in the gender gap in educational achievement we find that it is in secondary school rather than primary school where the gender gap has widened most noticeably over time controlling for attainment at the end of primary school makes very little difference to the measured gender gap at age 16 we consider the potential role of school based factors school inputs teaching practice and the examination system we show that the average gender differential cannot be explained by factors that vary across schools i e it cannot be attributed to heterogeneity across schools in how they use inputs however this does not mean that teachers cannot influence the gender gap in attainment we show that the introduction of the literacy hour and numeracy hour in primary schools made a difference to the gender gap in english and maths respectively at key stage 2 however these strategies are too recent to have made an impact on the gender gap observed in secondary school the timing of the emergence of the gender gap in secondary school coincides with the change in examination system from o levels to gcses we argue that the importance of coursework in the gcse examination is likely to be a key explanation for the emergence of the gender gap at age 16 another very important explanation may be a gender differential in skills that are taught and tested in different types of system as well as the mode of assessment we also consider the potential role of social and economic changes that would influence the relative achievement of boys and girls at age 16 however the most compelling explanation to explain the specific timing of the gender gap at this age in the england comes from the change in examination system taken together with the evidence on the literacy and numeracy strategies this shows that education policy can most definitely have an impact on the gender gap in achievement whether this is intended or not

a new approach to risk return trade off dynamics via decomposition this paper revisits the puzzling time series relation between risk premium and conditional volatility by proposing a flexible risk return trade off that allows for a variety of possible shapes and incorporates potential nonlinearities inherent in excess return dynamics we derive this flexible risk return relation using the decomposition approach of anatolyev and gospodinov 2010 which splits excess returns into the product of absolute returns and signs using this decomposition strategy we study four major international financial markets the empirical results support a significant and positive risk return trade off that is driven by conditional volatility market timing and the interdependence between the two components which is generically related to return skewness

some effects of business environment on retail firms abstractthis paper empirically tests how formal retail entrepreneurs perception about the business environment in cameroon affects the performance of the retail sector i use business owners responses from the 2009 enterprise survey to estimate an econometric model that corrects for heteroscedasticity the results show that regulation costs corruption credit constraints and lack of infrastructure negatively affect the gross margins of firms in contrast the competition of the informal sector perceived by many formal entrepreneurs as a major constraint is positively associated with the gross margins of formal firms policy implications are discussed

the outputs of retail activities concepts measurement and evidence from u s census data the authors develop a new economic framework for the empirical analysis of retail margins this framework formalizes the role of distribution services as outputs of retail activities their main results are the following the measures of outputs of retail activities identified in the data perform as important and robust determinants of retail margins variables that purport to capture oligopolistic features of market structure play a limited or no role in determining retail margins quantity setting and price setting under the assumptions of profit maximization and monopolistic competition are categorically rejected by the data the data base is information on 49 retail sectors from the 1982 u s census of retail trades copyright 1993 by mit press

do women shy away from competition do men compete too much we examine whether men and women of the same ability differ in their selection into a competitive environment participants in a laboratory experiment solve a real task first under a noncompetitive piece rate and then a competitive tournament incentive scheme although there are no gender differences in performance men select the tournament twice as much as women when choosing their compensation scheme for the next performance while 73 percent of the men select the tournament only 35 percent of the women make this choice this gender gap in tournament entry is not explained by performance and factors such as risk and feedback aversion only playa negligible role instead the tournament entry gap is driven by men being more overconfident and by gender differences in preferences for performing in a competition the result is that women shy away from competition and men embrace it

manufacturing margins differences between small and large firms the influence of labour costs concentration capacity utilization exports and firm size on manufacturing profit margin is studied with a discrimination between small and large firms

a model of pricing behavior an econometric case study empirical pricing studies are scarce in the modern literature in spite of their obvious importance for understanding competition the present study employs a structural model to identify deviations of individual pricing routines from the commonly assumed single period profit maximization it is applied to individual wholesale firms because wholesale pricing has a decisive influence on the price formation in the entire economic system and because hardly any research exists in this area the results show that wholesale firms operate in imperfectly competitive world markets providing a highly differentiated service package traders apply pricing rules consistent with cost mark up pricing the mark up varies among traders with the extent to which a firm s pricing strategy deviates from full profit maximization this divergent behavior is associated with firm size the type of buyers served and other aspects of the wholesale service package

the robustness of risk return nonlinearities to the normality assumption in a recent study tinic and west 1986 empirically reexamine the risk return relationship posited by the traditional mean variance capm they find a positive nonlinear relationship between risk and return except during january when the market rewards bearing nonsystematic risk this study examines the hypothesis that nonnormality of re turn distributions may account for some of these anomalous results we compare shalit and yitzhaki s 1984 mean extended gini capm an equilibrium asset pricing relation that is independent of the form of the underlying asset distribution with the traditional capm our results indicate that the nonlinear risk return relationship and the size and january effects are robust to nonnormality of return distributions

misspecification of capital asset pricing this study documents empirical anomalies which suggest that either the simple one period capital asset pricing model capm is misspecified or that capital markets are inefficient in particular portfolios based on firm size or earnings price e p ratios experience average returns systematically different from those predicted by the capm furthermore the abnormal returns persist for at least two years this persistence reduces the likelihood that these results are being generated by a market inefficiency rather the evidence seems to indicate that the equilibrium pricing model is misspecified however the data also reveals that an e p effect does not emerge after returns are controlled for the firm size effect the firm size effect largely subsumes the e p effect thus while the e p anomaly and value anomaly exist when each variable is considered separately the two anomalies seem to be related to the same set of missing factors and these factors appear to be more closely associated with firm size than e p ratios

gender economics an assessment concerns about gender equality have jumped to the forefront of public debate in recent years and gender economics is slowly affirming its place as a major field of study this assessment examines where we are in terms of gender equality it reviews the theoretical foundations that can explain existing inequalities and documents the empirical findings supported by the theories identifying avenues for future research and providing a fruitful framework to think about the effectiveness of policies and interventions targeting gender inequality in doing so i provide the foundations against which the contributions in this issue can be placed

measuring abnormal performance do stocks overreact abstract a highly controversial issue in financial economies is whether stocks overreact in this paper we find an economically important overreaction effect even after adjusting for size and beta in portfolios formed on the basis of prior five year returns extreme prior losers outperform extreme prior winners by 5 10 per year during the subsequent five years although we find a pronounced january seasonal our evidence suggests that the overreaction effect is distinct from tax loss selling effects interestingly the overreaction effect is substantially stronger for smaller firms than for larger firms returns consistent with the overeaction hypothesis are also observed for short windows around quarterly earnings announcements

a critical reexamination of the empirical evidence on the arbitrage pricing theory this paper demonstrates that the roll and ross rr and other previously published tests of the apt are subject to several basic limitations there is a general nonequivalence of factor analyzing small groups of securities and factor analyzing a group of securities sufficiently large for the apt model to hold it is found that as one increases the number of securities the number of factors determined increases this increase in the number of factors with larger groups of securities cannot readily be explained by a distinction between priced and nonpriced risk factors as it is impermissible to carry out tests on whether a given risk factor is priced using factor analytic procedures the apt model as exposited by ross 17 18 and extended by huberman 9 has provided the basis of an extensive literature as for example brown and weinstein 1 chen 3 hughes 10 ingersoll 11 jobson 12 reinganum 15 roll and ross rr 16 and shanken 17 to mention but a few it has also been treated in a more general context by chamberlain and rothschild 2 our purpose here is not to comment on this collection of papers many of which are unpublished but to reexamine the evidence presented by rr and point out major pitfalls involved in the empirical methodology employed by them and others who have followed their lead rr claim that on theoretical and more importantly on empirical grounds arbitrage pricing theory apt is an attractive alternative to the capital asset pricing model capm the apt it is argued requires less stringent and presumably more plausible assumptions is more readily testable since it does not require the measurement of the market portfolio and may be better able to explain the anomalies found in the application of the capm to asset returns the acceptability of the apt like that of the capm or any other theory ultimately depends on its ability to explain the relevant empirical evidence our subsequent discussion will show that many of the prqblems associated with the capm are also present in the apt context and that its ability to explain the relevant empirical evidence is not markedly superior moreover it raises questions not only about the rr and related empirical investigations of the apt but also about the testability of that theory in the present state of the art a major part of the problem results from the necessity to break down the universe being analyzed through the apt model this is forced upon the investigator by the fact

an analysis of seasonality in the u k equity market this paper examines the nature and importance of seasonal fluctuations in the u k equity market the authors analysis reveals that returns on the ft a all share index exhibit significant seasonality that is best described by a deterministic seasonal model the authors also establish that evidence of seasonal variation is robust across size sorted portfolios and remains unaffected by the introduction of a proxy for risk copyright 1995 by royal economic society

implications of keeping up with the joneses behavior for the equilibrium cross section of stock returns international evidence this paper tests the cross sectional implications of keeping up with the joneses kuj preferences in an international setting when agents have kuj preferences in the presence of undiversifiable nonfinancial wealth both world and domestic risk the idiosyncratic component of domestic wealth are priced and the equilibrium price of risk of the domestic factor is negative we use labor income as a proxy for domestic wealth and find empirical support for these predictions in terms of explaining the cross section of stock returns and the size of the pricing errors the model performs better than alternative international asset pricing models

market disequilibria and their influence on small retail store pricing in this paper a quantitative model is developed to explain differences in average store price levels we assume that stores may operate under different economic regimes that is under excess capacity or excess demand prices are expected to the higher than average in case of an excess demand regime and lower in an excess capacity situation actual information regarding the regime that applies to each individual store is not available therefore we propose to use a so called switching model with endogenous regime choice to analyse the store price differences the model developed in the paper is estimated using four largely differing types of stores from the dutch retail trade these samples consist mainly of small stores

risk aversion uncertain information and market efficiency abstract this paper develops and tests the uncertain information hypothesis as a means of explaining the response of rational risk averse investors to the arrival of unanticipated information the theory predicts that following news of a dramatic financial event both the risk and expected return of the affected companies increase systematically and that prices react more strongly to bad news than good an empirical investigation of over 9000 marketwide and firm specific events produces results consistent with these predictions we conclude that the market reacts to uncertain information in an efficient if not instantaneous manner

japan s shift from process to product patents in the pharmaceutical industry an event study of the impact on japanese firms in 1975 japan expanded the scope of its patent law by introducing product patents for newly developed chemical and pharmaceutical products we use rate of return data from the tokyo stock exchange for japanese pharmaceutical companies to examine the impact of the change in the patent law our empirical findings indicate that the passage of the new patent law induced an excess return of approximately 26 percent to a portfolio of large pharmaceutical companies companies with r d programs specializing in new product development experienced large gains while companies with r d programs specializing in imitative process patents experienced no gains

productivity and efficiency impacts of human resources practices in food retailing data from an annual survey of us supermarkets including detailed information on store characteristics operations and performance are used to develop an index of human resource hr practices for food retailers a stochastic frontier analysis demonstrates that hr policies have a positive impact on value added in food retailing establishments while efficiency is not adversely influenced by hr practices managerial implications of the model link technical inefficiency estimates for retailers to slight declines in store level gross margins evaluated on the basis of technical efficiency retailers choosing a portfolio of hr practices that score high on the hr index are able to match the performance of competitors pursuing an alternative low hr strategy

stock market seasonals and prespecified multifactor pricing relations despite nonstationarities in the factor betas and factor prices of the chen roll ross 1986 multifactor model investors are rewarded for bearing risks associated with the change in expected inflation and industrial production in non january months however variations in these factors have opposite influences on stock prices these findings may partially explain why several recent studies fail to detect a significant non january risk premium in the stock market but this evidence is only suggestive since theoretical and statistical difficulties prevent precise interpretations of specific pricing relations in the chen roll ross model

winter blues a sad stock market cycle and god said let there be light and there was light and god saw that the light was good genesis 1 3 depression has been linked with seasonal affective disorder sad a condition that affects many people during the seasons of relatively fewer hours of daylight experimental research in psychology has documented a clear link between depression and lowered risktaking behavior in a wide range of settings including those of a financial nature through the links between sad and depression and between depression and risk aversion seasonal variation in length of day can translate into seasonal variation in equity returns based on supportive evidence from psychology which suggests sad is linked closely with hours of daylight we consider stock market index data from countries at various latitudes and on both sides of the equator we model differences in the seasonal variation of daylight across coun

early gender gaps among university graduates abstract we use data from six cohorts of university graduates in germany to assess the extent of gender gaps in college and labor market performance twelve to eighteen months after graduation men and women enter college in roughly equal numbers but more women than men complete their degrees women enter college with slightly better high school grades but women leave university with slightly lower marks immediately following university completion male and female full timers work a very similar number of hours per week but men earn more than women across the pay distribution with an unadjusted gender gap in full time monthly earnings of about 20 log points on average including a large set of controls reduces the gap to 5 10 log points the single most important proximate factor that explains the gap is field of study at university

seasonality stock returns and the macroeconomy this paper examines the relationship between seasonality stock returns and the macroeconomy using a multifactor model of stocks returns observed seasonal patterns in excess returns are found to be a result of seasonality in excess expected returns by utilising a multifactor model of stock returns these higher returns are found to be a compensation for risk associated with a number of macroeconomic factors at certain times of the year

entry through the narrow door the costs of just failing high stakes exams abstract in many countries important thresholds in examinations act as a gateway to higher levels of education and or improved employment prospects this paper examines the consequences of just failing a particularly important high stakes national examination taken at the end of compulsory schooling in england it uses unique administrative data including full information on both initial and regraded exam marks to show that students of the same ability have significantly different educational trajectories depending on whether they just pass or fail this exam three years later students who just fail to achieve the required threshold have a lower probability of entering an upper secondary high level academic or vocational track and of starting tertiary education those who fail to pass the threshold are also more likely to drop out of education by age 18 without some form of employment the moderately high effects of just passing or failing to pass the threshold in this high stakes exam has high potential long term consequences for those affected

the outputs of retail activities french evidence a new economic framework is applied to the empirical analysis of retail margins this framework is founded on the definition of profits and incorporates recent theoretical developments formalizing the role of distribution services as outputs of retail activities the main results are the measures of outputs of retail activities identified in the data perform as important and robust determinants of retail margins variables that purport to capture the oligopolistic features of market structure have little association with the variation in retail margins hypotheses of price setting and quantity setting under the assumptions of profit maximization and monopolistic competition are categorically rejected by the data the data base is information on 50 retail sectors from the 1982 survey of firms in commerce and the 1983 survey of firms in services reported by insee

productivity growth in the grocery trade this paper presents a model of the growth of the average efficiency of labour per type of shop as a function of the wage rate use of part time labour labour supply and demand and economies of scale shop size the model is estimated on the basis of data for the grocery trade prior to 1975 this yields a forecast beyond 1975 which is compared with more recent observations are estimate of the model on the basis of data for the grocery trade in the period 1975 78 is found to be in agreement with the original estimate some implications of the model are indicated

seasonalities in nyse bid ask spreads and stock returns in january using end of month bid ask spreads for 540 nyse stocks over the period 1982 1987 we document a seasonal pattern in which both relative and absolute spreads decline from the end of december to the end of the following january cross sectional regressions do not however provide evidence of a significant correlation between changes in spreads at the turn of the year and january stock returns either there is no cause and effect relation between the coincidental seasonals in bid ask spreads and january returns for nyse stocks or the data are too noisy to reveal any relation bid ask spreads hatve played and continue to play an important role in explanations of the january effect in stock returns for example roll 1983 argues persuasively that high january returns are the result of tax loss selling pressure that occurs throughout the year which is released right after the beginning of the new tax year once the selling pressure is released stocks rise in price which results in high january returns however these predictable excess january returns cannot be exploited fully by arbitrageurs because of round trip transactions costs in the form of the bid ask spread this inhibitor to arbitrage is especially great for small or low priced stocks where historically high january returns have been most pronounced stoll and whaley 1983 take a different tack they do not focus on january returns per se but argue that the excess returns on small stocks are a result of higher proportional bid ask spreads in low priced stocks in their view the bid ask spread itself is the cause of the higher returns on small stocks that is because of the higher proportional cost of transacting in small stocks investors demand a higher rate of return in response keim 1983 and schultz 1983 point out that small stock excess returns are concentrated in january and a seasonal in stock returns cannot be explained by the bid ask spread unless there is a seasonal in the bid ask spread as well schultz 1983 compares bid ask spreads in december with those in june plus round trip commissions for a sample of 40 small capitalization new york stock exchange nyse stocks and finds no signifi

risk and return abstract this paper examines the seasonality in the basic relationship between expected return and risk during 1935 82 the results reveal that the positive relationship between return and risk is unique to january the risk premiums during the remaining eleven months are not significantly different from zero

decomposition of structural and exogenous changes 1989 decomposition of structural and exogenous changes applied economics vol 21 no 1 pp 125 137

the seasonal cycle and the business cycle almost all recent research on macroeconomic fluctuations has worked with seasonally adjusted or annual data this paper takes a different approach by treating seasonal fluctuations as worthy of study in their own right our results show that seasonal fluctuations are an important source of variation in all macroeconomic quantity variables but are small or entirely absent in both real and nominal price variables the timing of the seasonal fluctuations consists of increases in the second and fourth quarters a large decrease in the first quarter and a mild decrease in the third quarter the paper demonstrates that with respect to each of several major stylized facts about business cycles the seasonal cycle displays the same characteristics as the business cycle in some cases even more dramatically than the business cycle that is we find that at seasonal frequencies as well as at business cycle frequencies output movements across broadly defined sectors move together the timing of production and the

stock return anomalies and the tests of the apt this paper shows that the empirical tests of the arbitrage pricing theory apt model are very sensitive to the anomalies observed in january in the stock returns data there is a strong seasonal pattern in the estimates of the risk premia from the apt model the most important implication of the findings in this paper is that the apt model can explain the risk return relation mostly for january once the january returns are excluded from the data there is no significant relation between the expected stock returns and the risk measures predicted by the apt model it is now a very well known phenomenon that stock returns exhibit a peculiar seasonal pattern while such a seasonal pattern in stock returns is an interesting phenomenon in itself and has yet to be fully explained there is a serious implication of the observed seasonality in stock returns on the tests of the assetpricing models 1 tinic and west 17 for example report that the risk return relation described by the capital asset pricing model capm also exhibits a similar seasonality in january a result rozeff and kinney 16 report as well more importantly however they show that only one month january shows a consistently positive and reliable relation between expected return and risk once the data for january are excluded from the analysis of the risk return tradeoff the estimates of risk premia are no longer reliably different from zero although tinic and west do not offer an explanation for their findings their results raise serious questions about the empirical tests of the capm and ultimately its validity as a viable model to explain the pricing of risky assets the purpose of this paper is to investigate the impact of stock return seasonality on the empirical tests of the arbitrage pricing theory apt a number of researchers argue on both theoretical and empirical grounds that the apt is a good alternative to the capm although there is a growing body of empirical literature on the apt the empirical tests of the apt thus far have produced inconclusive results and a good deal of controversy it now seems appropriate to

a fundamental study of the seasonal risk return relationship a note two features of many capital asset pricing theories are a that the relationship between risk and expected returns is linear and b that risk is defined as the covariability of an asset s returns with the returns on a properly defined hedging portfolio among such theories the sharpe 9 lintner 7 capital asset pricing model capm the black 1 capm and the ross 8 arbitrage pricing theory apt have received the greatest attention despite earlier evidence in support of the capm 1 recent findings by tinic and west 11 challenge both the completeness of beta as a measure of relevant risk and the linearity of the relationship between risk and expected returns in a separate study tinic and west 10 also demonstrate that beta risk may not be priced by the market except in january and to a lesser extent july gultekin and gultekin 5 report that apt factors are also not priced in non january months the above tests involve cross sectional regressions of realized security returns against various measures of risk that are estimated in time series regressions in preceding periods portfolio grouping procedures are used to create dispersion in the risk estimates and hopefully also in the average realized returns portfolio formation also helps to eliminate estimation errors however since the actual hedging portfolios and the securities risk exposures are unobservable it is difficult to determine whether the above findings reflect a the absence of a riskreturn relationship or b inadequacies in testing these specific asset pricing models this study seeks to disentangle the above two interpretations by comparing the month to month holding period return spreads between stock and t bill returns no need exists to calculate beta or other risk estimators because stocks are universally accepted as being more risky than government t bills if these relative risk rankings are correct and if a consistent risk return relationship exists then the average monthly holding period return spread should be systematically positive however we find that between 1927 and 1983 average spreads between even small firms stocks and t bills are significantly greater than zero only in january and to a lesser extent july subperiod results are similar thus we fail to find a pervasive risk return relationship and its absence cannot be attributed to misspecification of asset pricing models or to nonstationary or inefficient estimates of beta

capm anomalies and the pricing of equity evidence from the hong kong market using a sample of equity stocks traded on the hong kong stock market this study examines empirically the independent and joint roles of the more commonly hypothesized variables in explaining cross sectional variation in average returns over the period from january 1980 to december 1994 evidence indicates that beta book leverage earnings price ratio and dividend yield are not priced whereas significant book to market equity market leverage absorbed by book to market equity size and share price effects are observed the findings should prove valuable in portfolio management and corporate financial decisions

crime scars recessions and the making of career criminals recessions lead to short term job loss lower levels of happiness and decreasing income levels there is growing evidence that workers who first join the labour market during economic downturns suffer from poor job matches that have a sustained detrimental effect on their wages and career progression this paper uses a range of us and uk data to document a more disturbing long run effect of recessions young people who leave school in the midst of recessions are significantly more likely to lead a life of crime than those graduating into a buoyant labour market these effects are long lasting and substantial

on the origins of gender gaps in human capital short and long term consequences of teachers biases abstract we estimate the effect of primary school teachers gender biases on boys and girls academic achievements during middle and high school and on the choice of advanced level courses in math and sciences during high school in tel aviv israel we measure bias using class gender differences in scores between school exams graded by teachers and national exams graded blindly by external examiners for identification we rely on the random assignment of teachers and students to classes in primary schools our results suggest that assignment to a teacher with a greater bias in favor of girls boys has positive effects on girls boys achievements such gender biases have also positive impact on girls boys enrollment in advanced level math courses in high school these results suggest that teachers biased behavior at early stages of schooling has long run implications for occupational choices and earnings at adulthood because enrollment in advanced courses in math and science in high school is a prerequisite for post secondary schooling in engineering computer science and so on

a new theory of retailing costs in cross section studies of shops of the same type we find that costs in general and labour in particular depend on the sales size per shop according to a linear function with a positive intercept this paper provides some empirical evidence and a theoretical explanation based on queuing theory

tax loss selling and the january effect evidence from municipal bond closed end funds this paper provides direct evidence supporting the tax loss selling hypothesis as an explanation of the january effect examining turn of the year return and volume patterns for municipal bond closed end funds which are held mostly by tax sensitive individual investors we document a january effect for these funds but not for their underlying assets we provide evidence that this effect can be largely explained by tax loss selling activities at the previous year end moreover we find that funds associated with brokerage firms display more tax loss selling behavior suggesting that tax counseling plays a role among the numerous stock return anomalies probably none has generated more interest than that of the turn of the year or january effect the phenomenon in which small capitalization stocks realize unusually high returns in early january 1 the literature offers a number of hypotheses to explain this phenomenon including the tax loss selling hypothesis the window dressing hypothesis the insider trading information release hypothesis and the seasonality of the risk return relation hypothesis given existing evidence in some support for the first two hypotheses the debate continues with respect to which of these the tax loss selling of individual investors or the window dressing of

the effect of education on crime evidence from prison inmates arrests and self reports we estimate the effect of high school graduation on participation in criminal activity accounting for endogeneity of schooling we begin by analyzing the effect of high school graduation on incarceration using census data instrumental variable estimates using changes in state compulsory attendance laws as an instrument for high school graduation uncover a significant reduction in incarceration for both blacks and whites when estimating the impact of high school graduation only ols and iv estimators estimate different weighted sums of the impact of each schooling progression on the probability of incarceration we clarify the relationship between ols and iv estimates and show that the weights placed on the impact of each schooling progression can explain differences in the estimates overall the estimates suggest that completing high school reduces the probability of incarceration by about 76 percentage points for whites and 3 4 percentage points for blacks we corroborate these findings using fbi data on arrests that distinguish among different types of crimes the biggest impacts of graduation are associated with murder assault and motor vehicle theft we also examine the effect of drop out on self reported crime in the nlsy and find that our estimates for imprisonment and arrest are caused by changes in criminal behavior and not educational differences in the probability of arrest or incarceration conditional on crime we estimate that the externality of education is about 14 26 of the private return to schooling suggesting that a significant part of the social return to education comes in the form of externalities from crime reduction

gender competitiveness and career choices gender differences in competitiveness have been hypothesized as a potential explanation for gender differences in education and labor market outcomes we examine the predictive power of a standard laboratory experimental measure of competitiveness for the later important choice of academic track of secondary school students in the netherlands although boys and girls display similar levels of academic ability boys choose substantially more prestigious academic tracks where more prestigious tracks are more math and science intensive our experimental measure shows that boys are also substantially more competitive than girls we find that competitiveness is strongly positively correlated with choosing more prestigious academic tracks even conditional on academic ability most important we find that the gender difference in competitiveness accounts for a substantial portion about 20 of the gender difference in track choice

the seasonal stability of the factor structure of stock returns this paper investigates the month by month stability of a daily returns and correlation coefficients of stock returns b correlation and covariance matrices c number of return generating factors and d the apt pricing relationship the results show that there is a january effect and a small firm effect in stock returns correlation matrices are more stable than covariance matrices but both types of matrices are not stable across months and across the sample groups the number of return generating factors is rather stable most of the time and for most of the sample groups but there is some significant instability that is related to the average correlation coefficients among stocks the apt pricing relationship does not seem to be supported by the two stage process using the maximum likelihood factor analysis the seasonality of common stock returns has received considerable attention in financial economics research studies by officer 23 rozeff and kinney 29 gultekin and gultekin 11 and others have investigated the stock returns of the u s and other countries on a monthly basis they generally have found that on average january returns are significantly higher than the returns for other months banz 1 and reinganum 25 26 have found abnormally high returns in small market value firms and keim 17 has related this to the first few trading days of january schwert 30 points out the current difficulty of explaining these empirical regularities and the need for further investigations several studies have examined seasonality in risk premiums rozeff and kinney 29 found that seasonality appeared in the risk premiums obtained from a twoparameter capm and that january displayed a relatively large risk premium compared with the other months keim 16 also found seasonality in the risk premiums more recently tinic and west 32 examined the risk premiums of the two parameter capm and observed the previously reported seasonality and high january premium they also found that january is the only month in which there is a consistently positive statistically significant relationship between expected return and risk very recently using the two stage procedure with the

time varying return and risk in the corporate bond market this paper examines the pricing of exchange traded long term corporate bond portfolios observable instruments measuring the term structure of interest rates levels of bond and stock prices and a january dummy are found to predict excess returns on corporate bonds an intertemporal asset pricing model with changing expectations and unobservable factors is then estimated for the predictable excess returns using hansen s generalized method of moments the results show that a multibeta linear time varying model of con ditional expected returns with constant betas can successfully value corporate bonds spe cifically the tests indicate the presence of two time varying hedge portfolios the data however support a single latent variable specification when all january observations are excluded this result suggests the existence of a strong january seasonal in one of the latent variables

econometrics and business cycle empirics business cycle empirics have long been a central arena for the debate about the roles of economic theory and econometrics in modelling economic time series data some famous historical examples are moore i9i4 keynes i939 and koopmans i947 sources for potential disagreements include that the entire economic system is involved and unobservable stochastic forces seem more than usually prominent in determining the outcome not only do these constitute two aspects about which it is hard to theorise they are equally difficult to model empirically there are both positive arguments for and negative arguments against according a dominant role to either theory or evidence not least because it is unclear what constitutes admissible instances of either in the absence of the other we first review what precludes a purely theoretical approach what prevents a purely empirical approach and hence why an interactive approach is imperative even so both the relative importance of the two ingredients and their substantive contents are likely to remain at issue first concerning the economy considerable empirical evidence suggests that it is a dynamic non linear high dimensional and evolving entity so studying it is difficult society and social systems alter over time laws change and technological innovations occur so establishing any invariants of an economic system is not easy such difficulties adversely afflict both theory and empirical modelling secondly concerning the observations time series data in economics are heterogeneous non stationary time dependent and interdependent so it is difficult to acquire knowledge from the available empirical information again such factors also make it hard to theorise about the properties of the underlying system a more direct critique of the empirical enterprise is that samples are short and highly aggregated economic magnitudes are inaccurately measured are subject to considerable revision and important variables are not measured or are unobservable so inferences are both imprecise and tentative combined with the simultaneity non constancy and high dimensionality of economic data a purely empirical approach seems to many to be precluded other criticisms of econometric approaches include worries about data mining pretest biases a lack of genuine identifiability and collinearity sometimes combined with a belief that theory can compensate an overemphasis on a

institutions and individuals at the turn of the year this article evaluates the tax loss selling hypothesis against the window dressing hypothesis as explanations for turn of the year anomalies we examine differences between securities dominated by individual investors versus those dominated by institutional investors and find that the effect is more pervasive in the former controlling for capitalization we find that in early january late december stocks with greater individual investor interest outperform underperform stocks with greater institutional investor interest these results hold for both stocks that previously appreciated in value and stocks that previously depreciated in value the results are most consistent with the tax loss selling hypothesis as an explanation for the turn of the year effect

labour productivity and profitability in the dutch flower trade this paper makes an attempt to illustrate the use of econometric models as frame of reference for diagnosing small firm performance for this purpose two models are developed explaining differences in labour productivity and profitability among dutch flower exporters in addition we show how these models can be used for inter firm performance comparisons

effects of wholesaler concentration on retailers by format evidence from japanese brand level price data using unique brand level wholesale price data this article examines how purchase prices of commodities for retailers are influenced by wholesale concentration compared with studies focusing on retail prices little empirical work has measured the impact of wholesale concentration on wholesale prices economic theory suggests that the sensitivity of purchase price in response to degree of wholesale concentration is smaller for large retail formats than for small retail formats in the presence of intra format retail competition to test the validity of the theoretical implication i measure the impact of the concentration on purchasing prices for retailers by format empirical findings support the hypothesis that the large retail format tends to draw advantageous purchase prices when wholesalers become increasingly oligopolistic

performance in competitive environments gender differences even though the provision of equal opportunities for men and women has been a priority in many countries large gender differences prevail in competitive high ranking positions suggested explanations include discrimination and differences in preferences and human capital in this paper we present experimental evidence in support of an additional factor women may be less effective than men in competitive environments even if they are able to perform similarly in non competitive environments in a laboratory experiment we observe as we increase the competitiveness of the environment a significant increase in performance for men but not for women this results in a significant gender gap in performance in tournaments while there is no gap when participants are paid according to piece rate this effect is stronger when women have to compete against men than in single sex competitive environments this suggests that women may be able to perform in competitive environments per se

playing the turn of the year effect with index futures the turn of the year effect is a well documented stock market phenomenon in which low capitalization small stocks receive relatively higher returns than high capitalization big stocks on the last trading day of december and the first 8 trading days of january the difference in returns during this period is of the order of 10 strategies for buying and selling these small stocks may be profitable but may also incur large transaction costs that eliminate most or all of the projected gains in this paper we show a preferable way to invest in order to exploit this anomaly use a futures spread that is long in the small stocks and short in the big stocks the optimal investment which uses a modification of the capital growth criterion is large and has a substantial expected gain with minimal risk we have used this analysis successfully in managing investment accounts

potential gains from international portfolio diversification and inter temporal stability and seasonality in international stock market relationships abstract in this paper we find empirical evidence that diversification across countries results in greater risk reduction than diversification across industries our inter temporal stability tests indicate that the longer the time period considered the better proxies ex post patterns of co movement can be for the ex ante co movements of international stock markets our seasonality tests show that international stock market co movements are stable in the september may period but relatively unstable in the may september period