bluuebunny/crossref_metadata_2025 huggingface dataset:
Memory, Distortion, and History in the Museum
Authors: Crane Susan A.
Published: March 2003

Museums are conventionally viewed as institutions dedicated to the conservation of valued objects and the education of the public. Recently, controversies have arisen regarding the representation of history in museums. National museums in America and Germany considered here, such as the Smithsonian's Air and Space Museum, the Holocaust Memorial Museum, and the German Historical Museum, have become sites of contention where national histories and personal memories are often at odds. Contemporary art installations in museums which take historical consciousness as their theme similarly raise contentious issues about public knowledge of and personal interest in the past. When members of publics find that their memories of the past or their expectations for museum experiences are not being met, a kind of “distortion” occurs. The “distortion” related to memory and history in the museum is not so much of facts or interpretations, but rather a distortion from the lack of congruity between personal experience and expectation, on the one hand, and the institutional representation of the past on the other. This essay explores the possibilities for a redefined relationship between personal memory and history that is experienced in contemporary museums.
Reenactment, Fantasy, and the Paranoia of History: Oliver Stone's Docudramas
Authors: Sturken Marita
Published: March 2003

In the late 1980s and 1990s, American popular culture has been increasingly rife with conspiracy narratives of recent historical events. Among cultural producers, filmmaker Oliver Stone has had a significant impact on popular understanding of American culture in the late twentieth century through a series of docudramas which reread American history through the lens of conspiracy theory and paranoia. This paper examines the films of Oliver Stone—in particular Platoon, Born on the Fourth of July, JFK, and Nixon—asking why they have achieved popularity and brought about catharsis, why they are the subject of attack, and why it is useful to look beyond the debate about truth and falsehood that has surrounded them. It analyzes the ways in which Stone's status as a Vietnam veteran allowed Platoon to be accorded the authenticity of survivor discourse, whereas JFK and Nixon were subject to almost hysterical attack, not only because of Stone's assertions of conspiracy, but also because of his cinematic style of tampering with famous images. Taking these films as its point of departure, this paper examines the role of images in the construction of history, the form of the docudrama, the reenactment of historical images, fantasies of history, and ways in which paranoia part of the practice of citizenship.
What If? Modality and History
Authors: Bulhof Johannes
Published: March 2003

Philosophers and historians have long been suspicious of modal and counterfactual claims. I argue, however, that historians often legitimately use modal and counterfactual claims for a variety of purposes. They help identify causes, and hence help explain events in history. They are used to defend judgments about people, and to highlight the importance of particular events. I defend these uses of modal claims against two arguments often used to criticize modal reasoning, using the philosophy of science to ground the truth of modal claims. This analysis puts several important points into perspective, including how certain we can be about our claims about what might have been, and the role that determinism plays in those claims. The proper analysis of modality shows, I argue, that counterfactual claims are legitimate and important, if often uncertain, and that issues of determinism are irrelevant to the modal claims used in historical analysis.
History, Time, and Knowledge in Ancient India
Authors: Perrett Roy W.
Published: March 2003

The lack of interest in history in ancient India has often been noted and contrasted with the situation in China and the West. Notwithstanding the vast body of Indian literature in other fields, there is a remarkable dearth of historical writing in the period before the Muslim conquest and an associated indifference to historiography. Various explanations have been offered for this curious phenomenon, some of which appeal to the supposed currency of certain Indian philosophical theories. This essay critically examines such “philosophical explanations.”

I argue that it is not true that there was no history in ancient India, and it is not surprising that there was no developed historiography or scientific history. It is both true and surprising that there was no real importance attached to history in ancient India. An adequate philosophical exxplanation for this historica phenomenon, however, is not to be found in appeals to the influence of indigenous metaphysical theories about time and the self. A much more plausible philosophical explanation appeals instead to certain features of classical Indian epistemology.
Cultural Meanings and Cultural Structures in Historical Explanation
Authors: Hall John R.
Published: March 2003

One way to recast the problem of cultural explanation in historical inquiry is to distinguish two conceptualizations involving culture: (1) cultural meanings as contents of signification (however theorized) that inform meaningful courses of action in historically unfolding circumstances; and (2) cultural structures as institutionalized patterns of social life that may be elaborated in more than one concrete construction of meaning. This distinction helps to suggest how explanation can operate in accounting for cultural processes of meaning‐formation, as well as in other ways that transcend specific meanings, yet are nonetheless cultural. Examples of historical explanation involving each construct are offered, and their potential examined.
Passing Strange: The Convergence of Evolutionary Science with Scientific History
Authors: McNeill William H.
Published: March 2003

In the second half of the twentieth century, a surprising change in the notion of scientific truth gained ground when an evolutionary cosmology made the Newtonian world machine into no more than a passing phase of the cosmos, subject to exceptions in the neighborhood of black holes and other unusual objects. Physical and chemical laws ceased to be eternal and universal and became local and changeable, that is, fundamentally historical instead, and faced an uncertain, changeable future just as they had in the initial phases of the cosmos.

The earth sciences along with biology had become historical in the nineteenth century; and the Big Bang cosmology in effect brought physics and chemistry into line, allowing venturesome intellects to concoct a new all‐embracing worldview that recognizes the catalytic role of the observer in defining what is observed, and how different levels of local complexity provoke new and surprising phenomena—including terrestrial life forms, and most notably for us, humanly‐constructed symbolic meanings—of which science is only oneexample.

The article then argues that it is time for historians to take note of the imperial role thus thrust upon their discipline by making a sustained effort to enlarge their views and explore the career of humankind on earth as a whole, thus making human history an integral part of the emerging scientific and evolutionary worldview.

Tentative suggestions of how this might be addressed, focusing on changes in patterns of communication that expanded the scale of human cooperation, and thus conduced to survival, follow. Dance, then speech, were early breakthroughs expanding the practicable size of wandering human bands; then caravans and shipping allowed civilizations to arise; writing expanded the scale of coordination; warfare and trade harshly imposed best practice across wide areas of Eurasia and Africa and kept the skills of that part of the world ahead of what the peoples of other continents and islands had at their command. Then with the crossing of the oceans after 1492 our One World began to emerge and swiftly assumed its contemporary shape with further improvements in the range and capacity of communication—for example, printing, mechanically‐powered transport, instantaneous data transmission—with consequences for human society and earth's ecosystem yet to be experienced.

Much remains to be investigated and, in particular, interactions between the history of human symbolic meanings and the history of other equilibria—ecological, chemical, physical—within which we exist needs further study. But with suitable effort, history can perhaps become scientific and the emerging scientific evolutionary worldview begin to achieve logical completeness by bringing humankind within its scope.
Agency in the Discursive Condition
Authors: Ermarth Elizabeth Deeds
Published: March 2003

This article claims that postmodernity necessarily, and perhaps opportunely, undermines the bases upon which political democracy traditionally has rested; and that therefore some significant work must be done in order to redefine, restore, or otherwise reconfigure democratic values and institutions for a changed cultural condition. This situation presents the opportunity to explore the new options, positive openings, and discursive opportunities that postmodernity presents for political practice; for this the problem of agency provides a focal issue.

The practices of postmodernity, taken together, represent substantial challenges, not just to this or that cherished habit, but to modernity itself and all its corollaries, including its inventions of objectivity, of “the individual” (miserable treasure), and of all the related values (project, capital, consensus and, above all, neutrality) which still underwrite so much of what we do as citizens, consumers, and professionals not to mention as more private persons, parents, and partners. Fortunately, postmodernity does not demolish all our most cherished beliefs, values, and practices; but it does require recognition of how those beliefs, values, and practices actually function and of what alternatives they suppress.
Asymmetrical Historical Comparison: the Case of the German Sonderweg
Authors: Kocka Jürgen
Published: March 2003

Frequently, historical comparisons are asymmetrical in the sense that they investigate one case carefully while limiting themselves to a mere sketch of the other case(s) which serve(s) as comparative reference point(s). The debate on the German Sonderweg (special path) and the rich historical literature originating from this debate can serve as examples. This article reconstructs the pros and cons within this controversial debate, reports its results and puts it into a broader historical context. It analyzes the comparative logic implied by the Sonderweg thesis and argues that the interpretation of modern German history in the sense of a Sonderweg can only be maintained if related to the question why Germany turned fascist and totalitarian in the interwar period while other (comparable) societies did not, and if Western countries are selected as units of comparison. The choice of comparative reference points turns out to be decisive and partly dependent on normative priorities and conventions. The article points to dangers and opportunities inherent in asymmetrical comparison.
Is Small Beautiful? Microhistory and the History of Everyday Life
Authors: Gregory Brad S.
Published: March 2003

Books reviewed in this article:

The History of Everyday Life. Reconstructing Historical Experiences and Ways of Life Edited by Alf Lüdtke, translated by William Templer

Jeux d'Échelles. La micro‐analyse àl'expérience Edited by Jacques Revel
The Effects of Pay and Work Conditions on Farmworker Retention
Authors: Gabbard Susan M. , Perloff* Jeffrey M.
Published: March 2003

Whether a seasonal farmworker returns to an employer in the following year depends on decisions by both the worker and the employer. Employers are more likely to rehire prime age, experienced, foreign‐born workers. An employer increases the probability that a worker returns by spending the last dollar of compensation on benefits or improving working conditions rather than on higher wages.
Import Competition, Employment Risk, and the Job‐Search Outcomes of Trade‐Displaced Manufacturing Workers
Authors: Clark Don P. , Herzog, Jr. Henry W. , Schlottmann Alan M.
Published: March 2003

This study examines the underlying relationships that exist among import competition, employment risk, and worker earnings. In addition, we consider how such competitiveness and risk experienced on a prior job will affect, under both equilibrium and disequilibrium interpretations of the labor market, alternative postdisplacement job‐search outcomes. Econometric models of predisplacement earnings and postdisplacement outcomes (jobless duration, reemployment, and earnings) provide insights on these relationships and in turn on the comparative job‐search success of trade‐displaced and “other” displaced workers.
Wage Discrimination, Segregation, and Sex Differences in Wages and Productivity Within and Between Plants
Authors: Hellerstein Judith K. , Neumark David
Published: March 2003

We use panel data on Israeli manufacturing plants to test two explanations of lower wages and lower productivity in plants with a higher percentage of females: (1) within plants women are paid less and are less productive, consistent with no discrimination, and (2) women are segregated into lower‐wage and lower‐productivity plants. Although the variation in productivity across plants appears to stem from differences in productivity between men and women, the estimates suggest no within‐plant wage differential between men and women.
Scale Economies in Union Pension Plan Administration: 1981–1993
Authors: Ghilarducci Teresa , Terry* Kevin
Published: March 2003

We confirm previous findings that as the pension plan size increases, administrative costs per participant and asset fall after controlling for the proportion of retirees in a plan. However, we question the inference that the high costs of administering small plans partly explains why small firms generally do not sponsor pension plans. This study uses Internal Revenue Service annual data to compare the administrative costs of Taft‐Hartley plans from 1981 to 1993. Centralization may save costs but also may inhibit formation. Union plans are naturally small; they form at the local level.
Public‐ and Private‐Sector Wage Differentials in Canada Revisited
Authors: Mueller Richard E.
Published: March 2003

Using a variety of techniques, we estimate the wage premium for federal, provincial, and municipal public‐sector employees in Canada. We find that females in the public sector are paid a wage premium, with federal government workers enjoying the highest rents, followed by local and provincial public‐sector employees. Estimates for males suggest that rent payments are comparably less, but results are inconclusive.
Why and When Are the Self‐Employed More Satisfied with Their Work?
Authors: Hundley Greg
Published: March 2003

Analysis confirms that the self‐employed are more satisfied with their jobs because their work provides more autonomy, flexibility, and skill utilization and greater job security. These underlying mechanisms have been stable over the last 30 years and are not due simply to personality differences. The self‐employed job satisfaction advantage is relatively small or nonexistent among managers and members of the established professions—occupations where organizational workers have relatively high autonomy and skill utilization.
The Growth of Union Decertification: A Test of Two Nonnested Theories
Authors: Nilsson Eric A.
Published: March 2003

This article tests two rival theories of the growth of union decertification: a neoclassical and an institutionalist. Both perform well when they are independently tested against the data. However, Cox nonnested hypothesis tests indicate that when these two theories are tested against each other, the institutionalist theory is superior to (i.e., variance encompasses) the neoclassical theory.
Religion and Partisanship in Canada
Authors: Guth James L. , Fraser Cleveland R.
Published: March 2003

Using a survey of three thousand Canadian adults conducted by the Angus Reid Group in the autumn of 1996, we examine the continuing role of religion in shaping partisan preferences. We find that traditional religious alignments still have some impact, but are being reshaped by both religious and political developments. We find that Evangelical Protestants are drawn toward the new Reform Party, Mainline Protestants still tend toward the Progressive Conservatives, and Catholics—both English‐and French‐speaking—remain the bulwark of the Liberal Party. The New Democratic Party, however, finds its greatest resonance among secular Canadians, and the Bloc Quebecois is strongest among nominal, rather than practicing, French‐speaking Catholics. In multivariate analysis, these religious variables stand up well against other influences in explaining partisan preferences.
Religious Involvement and Domestic Violence Among U.S. Couples
Authors: Ellison Christopher G. , Anderson Kristin L.
Published: March 2003

A small but growing literature focuses on the links between religion and family violence. Several recent studies report that regular religious attendance is inversely related to abuse among both men and women. After outlining a series of theoretical arguments regarding possible direct and indirect links between religious involvement and domestic violence, we analyze these relationships using data from Wave 1 of the National Survey of Families and Households (NSFH‐1). Among the key findings: (1) regular religious attendance is inversely associated with the perpetration of domestic violence; (2) among men, this protective effect is evident only among weekly attenders, whereas among women, the protective effect also surfaces among monthly attenders; (3) although the estimated net effects of religious attendance are generally somewhat larger in models of self‐reports of domestic violence, this link also remains strong and statistically significant in models of partner reports of violence; and (4) moreover, the inverse association between religious attendance and abuse persists even with statistical controls for measures of (a) social integration and social support, (b) alcohol and substance abuse, and (c) low self‐esteem and depression. We conclude by discussing a number of implications of these findings, and by identifying several promising directions for future research.
The Determinants of Stock Price Exposure: Financial Engineering and the Gold Mining Industry
Authors: Tufano Peter
Published: March 2003

This paper studies the exposure of North American gold mining firms to changes in the price of gold. The average mining stock moves 2 percent for each 1 percent change in gold prices, but exposures vary considerably over time and across firms. As predicted by valuation models, gold firm exposures are significantly negatively related to the firm's hedging and diversification activities and to gold prices and gold return volatility, and are positively related to firm leverage. Simple discounted cash flow models produce useful exposure predictions but they systematically overestimate exposures, possibly due to their failure to reflect managerial flexibility.
Is the Risk of Bankruptcy a Systematic Risk?
Authors: Dichev Ilia D.
Published: March 2003

Several studies suggest that a firm distress risk factor could be behind the size and the book‐to‐market effects. A natural proxy for firm distress is bankruptcy risk. If bankruptcy risk is systematic, one would expect a positive association between bankruptcy risk and subsequent realized returns. However, results demonstrate that bankruptcy risk is not rewarded by higher returns. Thus, a distress factor is unlikely to account for the size and book‐to‐market effects. Surprisingly, firms with high bankruptcy risk earn lower than average returns since 1980. A risk‐based explanation cannot fully explain the anomalous evidence.
Tax and Liquidity Effects in Pricing Government Bonds
Authors: Elton Edwin J. , Green T. Clifton
Published: March 2003

Daily data from interdealer government bond brokers are examined for tax and liquidity effects. We use two approaches to create cash flow matching portfolios of similar securities and look for pricing discrepancies associated with liquidity or tax effects. We also look for the presence of tax and liquidity effects by including a liquidity term when fitting a cubic spline to the after‐tax yield curve. We find evidence of tax timing options and liquidity effects. However, the effects are much smaller than previously reported and the effects of liquidity are primarily due to high volume bonds with long maturities.
Costly Search and Mutual Fund Flows
Authors: Sirri Erik R. , Tufano Peter
Published: March 2003

This paper studies the flows of funds into and out of equity mutual funds. Consumers base their fund purchase decisions on prior performance information, but do so asymmetrically, investing disproportionately more in funds that performed very well the prior period. Search costs seem to be an important determinant of fund flows. High performance appears to be most salient for funds that exert higher marketing effort, as measured by higher fees. Flows are directly related to the size of the fund's complex as well as the current media attention received by the fund, which lower consumers' search costs.
Investor Psychology and Security Market Under‐ and Overreactions
Authors: Daniel Kent , Hirshleifer David , Subrahmanyam Avanidhar
Published: March 2003

We propose a theory of securities market under‐ and overreactions based on two well‐known psychological biases: investor overconfidence about the precision of private information; and biased self‐attribution, which causes asymmetric shifts in investors' confidence as a function of their investment outcomes. We show that overconfidence implies negative long‐lag autocorrelations, excess volatility, and, when managerial actions are correlated with stock mispricing, public‐event‐based return predictability. Biased self‐attribution adds positive short‐lag autocorrelations (“momentum”), short‐run earnings “drift,” but negative correlation between future returns and long‐term past stock market and accounting performance. The theory also offers several untested implications and implications for corporate financial policy.
Short Sales Are Almost Instantaneously Bad News: Evidence from the Australian Stock Exchange
Authors: Aitken Michael J. , Frino Alex , McCorry Michael S. , Swan Peter L.
Published: March 2003

This paper investigates the market reaction to short sales on an intraday basis in a market setting where short sales are transparent immediately following execution. We find a mean reassessment of stock value following short sales of up to −0.20 percent with adverse information impounded within fifteen minutes or twenty trades. Short sales executed near the end of the financial year and those related to arbitrage and hedging activities are associated with a smaller price reaction; trades near information events precipitate larger price reactions. The evidence is generally weaker for short sales executed using limit orders relative to market orders.
The Sampling Error in Estimates of Mean‐Variance Efficient Portfolio Weights
Authors: Britten‐Jones Mark
Published: March 2003

This paper presents an exact finite‐sample statistical procedure for testing hypotheses about the weights of mean‐variance efficient portfolios. The estimation and inference procedures on efficient portfolio weights are performed in the same way as for the coefficients in an OLS regression. OLS t‐ and F‐statistics can be used for tests on efficient weights, and when returns are multivariate normal, these statistics have exact t and F distributions in a finite sample. Using 20 years of data on 11 country stock indexes, we find that the sampling error in estimates of the weights of a global efficient portfolio is large.
The Relationship between Firm Investment and Financial Status
Authors: Cleary Sean
Published: March 2003

Firm investment decisions are shown to be directly related to financial factors. Investment decisions of firms with high creditworthiness (according to traditional financial ratios) are extremely sensitive to the availability of internal funds; less creditworthy firms are much less sensitive to internal fund availability. This large sample evidence is based on an objective sorting mechanism and supports the results of Kaplan and Zingales (1997), who also find that investment outlays of the least constrained firms are the most sensitive to internal cash flow.
Conditioning Variables and the Cross Section of Stock Returns
Authors: Ferson Wayne E. , Harvey Campbell R.
Published: March 2003

Previous studies identify predetermined variables that predict stock and bond returns through time. This paper shows that loadings on the same variables provide significant cross‐sectional explanatory power for stock portfolio returns. The loadings are significant given the three factors advocated by Fama and French (1993) and the four factors of Elton, Gruber, and Blake (1995). The explanatory power of the loadings on lagged variables is robust to various portfolio grouping procedures and other considerations. The results carry implications for risk analysis, performance measurement, cost‐of‐capital calculations, and other applications.
Optimal Investment, Growth Options, and Security Returns
Authors: Berk Jonathan B. , Green Richard C. , Naik Vasant
Published: March 2003

As a consequence of optimal investment choices, a firm's assets and growth options change in predictable ways. Using a dynamic model, we show that this imparts predictability to changes in a firm's systematic risk, and its expected return. Simulations show that the model simultaneously reproduces: (i) the time‐series relation between the book‐to‐market ratio and asset returns; (ii) the cross‐sectional relation between book‐to‐market, market value, and return; (iii) contrarian effects at short horizons; (iv) momentum effects at longer horizons; and (v) the inverse relation between interest rates and the market risk premium.
Home Bias at Home: Local Equity Preference in Domestic Portfolios
Authors: Coval Joshua D. , Moskowitz Tobias J.
Published: March 2003

The strong bias in favor of domestic securities is a well‐documented characteristic of international investment portfolios, yet we show that the preference for investing close to home also applies to portfolios of domestic stocks. Specifically, U.S. investment managers exhibit a strong preference for locally headquartered firms, particularly small, highly levered firms that produce nontraded goods. These results suggest that asymmetric information between local and nonlocal investors may drive the preference for geographically proximate investments, and the relation between investment proximity and firm size and leverage may shed light on several well‐documented asset pricing anomalies.
Herding and Feedback Trading by Institutional and Individual Investors
Authors: Nofsinger John R. , Sias Richard W.
Published: March 2003

We document strong positive correlation between changes in institutional ownership and returns measured over the same period. The result suggests that either institutional investors positive‐feedback trade more than individual investors or institutional herding impacts prices more than herding by individual investors. We find evidence that both factors play a role in explaining the relation. We find no evidence, however, of return mean‐reversion in the year following large changes in institutional ownership—stocks institutional investors purchase subsequently outperform those they sell. Moreover, institutional herding is positively correlated with lag returns and appears to be related to stock return momentum.
Agency Costs and Ownership Structure
Authors: Ang James S. , Cole Rebel A. , Lin James Wuh
Published: March 2003

We provide measures of absolute and relative equity agency costs for corporations under different ownership and management structures. Our base case is Jensen and Meckling's (1976) zero agency‐cost firm, where the manager is the firm's sole shareholder. We utilize a sample of 1,708 small corporations from the FRB/NSSBF database and find that agency costs (i) are significantly higher when an outsider rather than an insider manages the firm; (ii) are inversely related to the manager's ownership share; (iii) increase with the number of nonmanager shareholders, and (iv) to a lesser extent, are lower with greater monitoring by banks.
Trading and Returns under Periodic Market Closures
Authors: Hong Harrison , Wang Jiang
Published: March 2003

This paper studies how market closures affect investors' trading policies and the resulting return‐generating process. It shows that closures generate rich patterns of time variation in trading and returns, including those consistent with empirical findings: (1) U‐shaped patterns in the mean and volatility of returns over trading periods, (2) higher trading activity around the close and open, (3) more volatile open‐to‐open returns than close‐to‐close returns, (4) higher returns over trading periods than over nontrading periods, (5) more volatile returns over trading periods than over nontrading periods. It also shows that closures can make prices more informative about future payoffs.
Characteristics, Covariances, and Average Returns: 1929 to 1997
Authors: Davis James L. , Fama Eugene F. , French Kenneth R.
Published: March 2003

The value premium in U.S. stock returns is robust. The positive relation between average return and book‐to‐market equity is as strong for 1929 to 1963 as for the subsequent period studied in previous papers. A three‐factor risk model explains the value premium better than the hypothesis that the book‐to‐market characteristic is compensated irrespective of risk loadings.
Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices
Authors: Henry Peter Blair
Published: March 2003

A stock market liberalization is a decision by a country's government to allow foreigners to purchase shares in that country's stock market. On average, a country's aggregate equity price index experiences abnormal returns of 3.3 percent per month in real dollar terms during an eight‐month window leading up to the implementation of its initial stock market liberalization. This result is consistent with the prediction of standard international asset pricing models that stock market liberalization may reduce the liberalizing country's cost of equity capital by allowing for risk sharing between domestic and foreign agents.
The Seven Percent Solution
Authors: Chen Hsuan‐Chi , Ritter Jay R.
Published: March 2003

Gross spreads received by underwriters on initial public offerings (IPOs) in the United States are much higher than in other countries. Furthermore, in recent years more than 90 percent of deals raising $20–80 million have spreads of exactly seven percent, three times the proportion of a decade earlier. Investment bankers readily admit that the IPO business is very profitable, and that they avoid competing on fees because they ‘don't want to turn it into a commodity business.’ We examine several features of the IPO underwriting business that result in a market structure where spreads are high.
Order Flow and Liquidity around NYSE Trading Halts
Authors: Corwin Shane A. , Lipson Marc L.
Published: March 2003

We study order flow and liquidity around NYSE trading halts. We find that market and limit order submissions and cancellations increase significantly during trading halts, that a large proportion of the limit order book at the reopen is composed of orders submitted during the halt, and that the market‐clearing price at the reopen is a good predictor of future prices. Depth near the quotes is unusually low around trading halts, though specialists and/or floor traders appear to provide additional liquidity at these times. Finally, specialists appear to “spread the quote” prior to imbalance halts to convey information to market participants.
Inference in Long‐Horizon Event Studies: A Bayesian Approach with Application to Initial Public Offerings
Authors: Brav Alon
Published: March 2003

Statistical inference in long‐horizon event studies has been hampered by the fact that abnormal returns are neither normally distributed nor independent. This study presents a new approach to inference that overcomes these difficulties and dominates other popular testing methods. I illustrate the use of the methodology by examining the long‐horizon returns of initial public offerings (IPOs). I find that the Fama and French (1993) three‐factor model is inconsistent with the observed long‐horizon price performance of these IPOs, whereas a characteristic‐based model cannot be rejected.
Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
Authors: Campbell John Y. , Lettau Martin , Malkiel Burton G. , Xu Yexiao
Published: March 2003

This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. Over the period from 1962 to 1997 there has been a noticeable increase in firm‐level volatility relative to market volatility. Accordingly, correlations among individual stocks and the explanatory power of the market model for a typical stock have declined, whereas the number of stocks needed to achieve a given level of diversification has increased. All the volatility measures move together countercyclically and help to predict GDP growth. Market volatility tends to lead the other volatility series. Factors that may be responsible for these findings are suggested.
Affine Term Structure Models and the Forward Premium Anomaly
Authors: Backus David K. , Foresi Silverio , Telmer Chris I.
Published: March 2003

One of the most puzzling features of currency prices is the forward premium anomaly: the tendency for high interest rate currencies to appreciate. We characterize the anomaly in the context of affine models of the term structure of interest rates. In affine models, the anomaly requires either that state variables have asymmetric effects on state prices in different currencies or that nominal interest rates take on negative values with positive probability. We find the quantitative properties of either alternative to have important shortcomings.
Optimal Portfolio Choice for Long‐Horizon Investors with Nontradable Labor Income
Authors: Viceira Luis M.
Published: March 2003

This paper examines how risky labor income and retirement affect optimal portfolio choice. With idiosyncratic labor income risk, the optimal allocation to stocks is unambiguously larger for employed investors than for retired investors, consistent with the typical recommendations of investment advisors. Increasing idiosyncratic labor income risk raises investors' willingness to save and reduces their stock portfolio allocation towards the level of retired investors. Positive correlation between labor income and stock returns has a further negative effect and can actually reduce stockholdings below the level of retired investors.
Market Liquidity and Trading Activity
Authors: Chordia Tarun , Roll Richard , Subrahmanyam Avanidhar
Published: March 2003

Previous studies of liquidity span short time periods and focus on the individual security. In contrast, we study aggregate market spreads, depths, and trading activity for U.S. equities over an extended time sample. Daily changes in market averages of liquidity and trading activity are highly volatile and negatively serially dependent. Liquidity plummets significantly in down markets. Recent market volatility induces a decrease in trading activity and spreads. There are strong day‐of‐the‐week effects; Fridays accompany a significant decrease in trading activity and liquidity, while Tuesdays display the opposite pattern. Long‐ and short‐term interest rates influence liquidity. Depth and trading activity increase just prior to major macroeconomic announcements.
Corporate Bond Trading Costs: A Peek Behind the Curtain
Authors: Schultz Paul
Published: March 2003

In this paper, I use institutional corporate bond trade data to estimate transactions costs in the over‐the‐counter bond market. I find average round‐trip trading costs to be about $0.27 per $100 of par value. Trading costs are lower for larger trades. Small institutions pay more to trade than large institutions, all else being equal. Small bond dealers charge more than large ones. I find no evidence that trading costs more for lower‐rated bonds.
Expected Option Returns
Authors: Coval Joshua D. , Shumway Tyler
Published: March 2003

This paper examines expected option returns in the context of mainstream asset‐pricing theory. Under mild assumptions, expected call returns exceed those of the underlying security and increase with the strike price. Likewise, expected put returns are below the risk‐free rate and increase with the strike price. S&P index option returns consistently exhibit these characteristics. Under stronger assumptions, expected option returns vary linearly with option betas. However, zero‐beta, at‐the‐money straddle positions produce average losses of approximately three percent per week. This suggests that some additional factor, such as systematic stochastic volatility, is priced in option returns.
How Distance, Language, and Culture Influence Stockholdings and Trades
Authors: Grinblatt Mark , Keloharju Matti
Published: March 2003

This paper documents that investors are more likely to hold, buy, and sell the stocks of Finnish firms that are located close to the investor, that communicate in the investor's native tongue, and that have chief executives of the same cultural background. The influence of distance, language, and culture is less prominent among the most investment‐savvy institutions than among both households and less savvy institutions. Regression analysis indicates that the marginal effect of distance is less for firms that are more nationally known, for distances that exceed 100 kilometers, and for investors with more diversified portfolios.
The Diversification Discount: Cash Flows Versus Returns
Authors: Lamont Owen A. , Polk Christopher
Published: March 2003

Diversified firms have different values from comparable portfolios of single‐segment firms. These value differences must be due to differences in either future cash flows or future returns. Expected security returns on diversified firms vary systematically with relative value. Discount firms have significantly higher subsequent returns than premium firms. Slightly more than half of the cross‐sectional variation in excess values is due to variation in expected future cash flows, with the remainder due to variation in expected future returns and to covariation between cash flows and returns.
Location Matters: An Examination of Trading Profits
Authors: Hau Harald
Published: March 2003

The electronic trading system Xetra of the German Security Exchange provides a unique data source on the equity trades of 756 professional traders located in 23 different cities and eight European countries. We explore informational asymmetries across the trader population: Traders located outside Germany in non‐German‐speaking cities show lower proprietary trading profit. Their underperformance is not only statistically significant, it is also of economically significant magnitude and occurs for the 11 largest German blue‐chip stocks. We also examine whether a trader location in Frankfurt as the financial center, or local proximity of the trader to the corporate headquarters of the traded stock, or affiliation with a large financial institution results in superior trading performance. The data provide no evidence for a financial center advantage or of increasing institutional scale economies in proprietary trading. However, we find evidence for an information advantage due to corporate headquarters proximity for high‐frequency (intraday) trading.
Dividend Changes and Future Profitability
Authors: Nissim Doron , Ziv Amir
Published: March 2003

We investigate the relation between dividend changes and future profitability, measured in terms of either future earnings or future abnormal earnings. Supporting “the information content of dividends hypothesis,” we find that dividend changes provide information about the level of profitability in subsequent years, incremental to market and accounting data. We also document that dividend changes are positively related to earnings changes in each of the two years after the dividend change.
The Stock Market Valuation of Research and Development Expenditures
Authors: Chan Louis K. C. , Lakonishok Josef , Sougiannis Theodore
Published: March 2003

We examine whether stock prices fully value firms' intangible assets, specifically research and development (R&D). Under current U.S. accounting standards, financial statements do not report intangible assets and R&D spending is expensed. Nonetheless, the average historical stock returns of firms doing R&D matches the returns of firms without R&D. However, the market is apparently too pessimistic about beaten‐down R&D‐intensive technology stocks' prospects. Companies with high R&D to equity market value (which tend to have poor past returns) earn large excess returns. A similar relation exists between advertising and stock returns. R&D intensity is positively associated with return volatility.
Takeover Defenses of IPO Firms
Authors: Field Laura Casares , Karpoff Jonathan M.
Published: March 2003

Many firms deploy takeover defenses when they go public. IPO managers tend to deploy defenses when their compensation is high, shareholdings are small, and oversight from nonmanagerial shareholders is weak. The presence of a defense is negatively related to subsequent acquisition likelihood, yet has no impact on takeover premiums for firms that are acquired. These results do not support arguments that takeover defenses facilitate the eventual sale of IPO firms at high takeover premiums. Rather, they suggest that managers shift the cost of takeover protection onto nonmanagerial shareholders. Thus, agency problems are important even for firms at the IPO stage.
No Contagion, Only Interdependence: Measuring Stock Market Comovements
Authors: Forbes Kristin J. , Rigobon Roberto
Published: March 2003

Heteroskedasticity biases tests for contagion based on correlation coefficients. When contagion is defined as a significant increase in market comovement after a shock to one country, previous work suggests contagion occurred during recent crises. This paper shows that correlation coefficients are conditional on market volatility. Under certain assumptions, it is possible to adjust for this bias. Using this adjustment, there was virtually no increase in unconditional correlation coefficients (i.e., no contagion) during the 1997 Asian crisis, 1994 Mexican devaluation, and 1987 U.S. market crash. There is a high level of market comovement in all periods, however, which we call interdependence.
The Conditional Performance of Insider Trades
Authors: Eckbo B. Espen , Smith David C.
Published: March 2003

This paper estimates the performance of insider trades on the closely held Oslo Stock Exchange (OSE) during a period of lax enforcement of insider trading regulations. Our data permit construction of a portfolio that tracks all movements of insiders in and out of the OSE firms. Using three alternative performance estimators in a time‐varying expected return setting, we document zero or negative abnormal performance by insiders. The results are robust to a variety of trade characteristics. Applying the performance measures to mutual funds on the OSE, we also document some evidence that the average mutual fund outperforms the insider portfolio.
Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices
Authors: Aït‐Sahalia Yacine , Lo Andrew W.
Published: March 2003

Implicit in the prices of traded financial assets are Arrow–Debreu prices or, with continuous states, the state‐price density (SPD). We construct a nonparametric estimator for the SPD implicit in option prices and we derive its asymptotic sampling theory. This estimator provides an arbitrage‐free method of pricing new, complex, or illiquid securities while capturing those features of the data that are most relevant from an asset‐pricing perspective, for example, negative skewness and excess kurtosis for asset returns, and volatility “smiles” for option prices. We perform Monte Carlo experiments and extract the SPD from actual S&P 500 option prices.
Sectoral and Spatial Linkages in the EC Production Structure
Authors: Dietzenbacher Erik , Van Der Linden Jan A.
Published: March 2003

This paper provides a description of the interdependencies in the production structure of the European Community (EC). For the measurement of these interdependencies, a new variant of the hypothetical extraction method is introduced. In contrast to earlier adaptations of this method, our approach allows for a natural distinction of the interdependencies into backward and forward linkages. The empirical results are based on the 1980 intercountry input‐output table for seven countries of the EC. The nature of this type of data (viz. country‐specific sectors) enables us to focus on the sectoral as well as the spatial dimension of the interdependencies.
Two‐Way Migration in a Model with Identical Optimizing Agents
Authors: Mueser Peter R.
Published: March 2003

The simplest migration models based on maximizing behavior assume movement toward more desirable locations, and therefore ignore the large portion of moves in the “wrong” direction. Based on a model with identical, utility‐maximizing agents, the analysis below shows that changes in relative location attractiveness can cause many migrants to move against the dominant stream. Even when the population distribution is stable and variation in wages and prices across locations reflect compensating differentials, so locations are equally attractive, individuals choose to move between locations, spending parts of their lives in different locations. These results stem from the role of consumption opportunities in migration decisions, highlighting processes that have been largely ignored.
A Biproportional Filter to Compare Technical and Allocation Coefficient Variations
Authors: De Mesnard Louis
Published: March 2003

In input‐output analysis there are two alternate possibilities between Leontief's mechanism (fixed technical coefficients) and Ghosh's mechanism (fixed allocation coefficients). Testing the long‐term consistency of these mechanisms entails comparing input‐output matrices over time. This paper challenges the value of proportional filters (separate comparisons of column and row coefficients) and introduces the biproportional filter that allows simultaneous comparison of column and rows. An application is proposed using French input‐output tables for 1980 and 1993. The stability of column coefficients cannot be taken for granted and, generally, for any sector, both row and column coefficients are found to change simultaneously.
Some Notes on Parametric Significance Tests for Geographically Weighted Regression
Authors: Brunsdon Chris , Fotheringham A. Stewart , Charlton Martin
Published: March 2003

The technique of geographically weighted regression (GWR) is used to model spatial ‘drift’ in linear model coefficients. In this paper we extend the ideas of GWR in a number of ways. First, we introduce a set of analytically derived significance tests allowing a null hypothesis of no spatial parameter drift to be investigated. Second, we discuss ‘mixed’ GWR models where some parameters are fixed globally but others vary geographically. Again, models of this type may be assessed using significance tests. Finally, we consider a means of deciding the degree of parameter smoothing used in GWR based on the Mallows Cp statistic. To complete the paper, we analyze an example data set based on house prices in Kent in the U.K. using the techniques introduced.