cssi/SciSciGPT-SciSciNet huggingface dataset:
Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs

We consider the problem of computing hedging portfolios for options that may have discontinuous payoffs, in the framework of diffusion models in which the number of factors may be larger than the number of Brownian motions driving the model. Extending the work of Fournie et al. (1999), as well as Ma and Zhang (2000), using integration by parts of Malliavin calculus, we find two representations of the hedging portfolio in terms of expected values of random variables that do not involve differentiating the payoff function. Once this has been accomplished, the hedging portfolio can be computed by simple Monte Carlo. We find the theoretical bound for the error of the two methods. We also perform numerical experiments in order to compare these methods to two existing methods, and find that no method is clearly superior to others.
Managing Strategic Buyers

We consider the problem of a monopolist who must sell her inventory before some deadline, facing buyers with independent private values. The seller faces a basic trade-off between imperfect price discrimination and maintaining an effective reserve price. When there is only one unit and only a few buyers, the seller essentially posts unacceptable prices up to the very end, at which point prices collapse in a series of jumps to a “reserve price” exceeding marginal cost. When there are many buyers, the seller abandons this reserve price in order to more effectively screen buyers, with prices decreasing continuously over time.
A Monthly Indicator of Brazilian GDP

This paper constructs an indicator of Brazilian GDP at the monthly frequency. The peculiar instability and abrupt changes of regimes in the dynamic behavior of the Brazilian business cycle are explicitly modeled within nonlinear frameworks. In particular, a Markov switching dynamic factor model is used to combine several macroeconomic variables that display simultaneous comovements with aggregate economic activity. The model generates as output a monthly indicator of the Brazilian GDP and real time probabilities of the current phase of the Brazilian business cycle. The monthly indicator shows a remarkable historical conformity with cyclical movements of GDP. In addition, the estimated filtered probabilities predict all recessions in sample and out-of-sample. The ability of the indicator in linear forecasting growth rates of GDP is also examined within and out-of-sample. In both cases the estimated indicator displays a better predictive performance compared to a linear autoregressive model for GDP. In particular, the inclusion of lags of the indicator improves substantially forecasts of the severity of recessions and strength of expansions, as measured by the volatility of changes in GDP. These results suggest that the estimated monthly indicator can be used to forecast GDP and to monitor the state of the Brazilian economy in real time.
Collegiality and Individual Dignity

This Essay is a direct transcription of the remarks that I offered at the Fordham Law School Symposium out of which this volume grows. I have made very minor edits to remove superfluous words and verbal tics, and I have restructured a pair of sentences for clarity, but I have otherwise left the transcript intact as delivered. I did not originally plan to publish these remarks and spoke without notes, so I beg the reader’s indulgence. In preparing this transcript for publication, I have added what I consider to be the bare minimum of footnotes, principally to account properly for my discussion of the work of other scholars.
Judging Third-Party Funding

Third-party funding is an arrangement whereby an outside entity finances the legal representation of a party involved in litigation or arbitration. The outside entity—called a “third-party funder”—could be a bank, hedge fund, insurance company, or some other entity or individual that finances the party’s legal representation in return for a profit. Third-party funding is a controversial, dynamic, and evolving phenomenon. The practice has attracted national headlines and the attention of the Advisory Committee on the Federal Rules of Civil Procedure (Advisory Committee). The Advisory Committee stated in a recent report that “judges currently have the power to obtain information about third-party funding when it is relevant in a particular case,” but the Committee did not provide any additional guidance on how to determine the relevance of thirdparty funding. What information should be obtained, and from whom? This Article offers that needed guidance by setting forth revisions and reinterpretations of procedural rules to provide judges and arbitrators with disclosure requirements and a framework for handling known issues as they arise. By revising and interpreting the procedural rules as suggested in this Article, judges and arbitrators will be able to gain a better sense of the prevalence, structures, and impact of third-party funding and its effects (if any) on dispute resolution procedures. Over time, these observations will reveal the true systemic impact of third-party funding and contribute to developing more robust third-party funding procedural regulations.
In Case of Emergency: Misunderstanding Tradeoffs in the War on Terror

Emergency-room personnel are acutely aware of the serious risks posed by excessive delay. Understanding the need for immediate and unhesitating action, they nevertheless routinely consume precious time to follow protocols drilled into them and practiced in advance. Why do they do this? They do it, quite obviously, to minimize the risk of making fatal but avoidable mistakes due to the psychologically flustering pressures of the moment. The aim in this piece is to tease out some of the implications of this everyday emergency-room experience - implications, in particular, for designing a more effective response to what President Bush labeled “a national emergency.”
Data matter(s): legitimacy, coding, and qualifications-of-life

Data are central to geographical technologies and provide the pathways in which geographic investigations are forwarded. The mattering of data is therefore important to those engaging in participatory use of these technologies. This paper understands ‘mattering’ both in the material sense, that data are products resulting from specific practices, and in the affective sense, that data are imaginative, generative, and evocative. I examine these senses of mattering, of both presence and significance, in a discussion of a community survey project held in Seattle, USA. During this four-year project, residents in ten neighborhoods were asked to collect data about their community streets using handheld computers. Residents tracked ‘assets’ and ‘deficits’ by locating objects such as damaged sidewalks and graffiti on telephone booths. These data records were then uploaded to a central server administered by a local nonprofit organization. The nonprofit worked with community residents to help link these data about ...
Patent First, Ask Questions Later: Morality And Biotechnology In Patent Law

This Article explores the U.S. "patent first, ask questions later" approach to determining what subject matter should receive patent protection. Under this approach, the U.S. Patent and Trademark Office (USPTO or the Agency) issues patents on "anything under the sun made by man," and to the extent a patent's subject matter is sufficiently controversial, Congress acts retrospectively in assessing whether patents should issue on such interventions. This practice has important ramifications for morally controversial biotechnology patents specifically, and for American society generally. For many years a judicially created "moral utility" doctrine served as a type of gatekeeper of patent subject matter eligibility. The doctrine allowed both the USTPO and courts to deny patents on morally controversial subject matter under the fiction that such inventions were not "useful." The gate, however, is currently untended. A combination of the demise of the moral utility doctrine, along with expansive judicial interpretations of the scope of patent-eligible subject matter, has resulted in virtually no basis on which the USTPO or courts can deny patent protection to morally controversial, but otherwise patentable, subject matter. This is so despite position statements by the Agency to the contrary. Biotechnology is an area in which many morally controversial inventions are generated. Congress has been in react-mode following the issuance of a stream of morally controversial biotech patents, including patents on transgenic animals, surgical methods, and methods of cloning humans. With no statutory limits on patent eligibility, and with myriad concerns complicating congressional action following a patent's issuance, it is not Congress, the representative of the people, determining patent eligibility. Instead, it is patent applicants, scientific inventors, who are deciding matters of high public policy through the contents of the applications they file with the USTPO. This Article explores how the United States has come to be in this position, exposes latent problems with the "patent first" approach, and considers the benefits and disadvantages of the "ask questions first, patents later" approaches employed by some other countries. The Article concludes that granting patents on morally controversial biotech subject matter and then asking whether such inventions should be patentable is bad policy for the United States and its patent system, and posits workable, proactive ways for Congress to successfully guard the patent-eligibility gate.
The Effect of Dividends on Consumption

Classical models predict that the division of stock returns into dividends and capital appreciation does not affect investor consumption patterns, while mental accounting and other economic frictions predict that investors have a higher propensity to consume from stock returns in the form of dividends. Using two micro data sets, we show that investors are indeed far more likely to consume from dividends than capital gains. In the Consumer Expenditure Survey, household consumption increases with dividend income, controlling for total wealth, total portfolio returns, and other sources of income. In a sample of household investment accounts data from a brokerage, net withdrawals from the accounts increase one-for-one with ordinary dividends of moderate size, controlling for total portfolio returns, and also increase with mutual fund and special dividends. We comment on several potential explanations for the results.
Agency Problems of Excess Endowment Holdings in Not-for-Profit Firms

We examine three alternative explanations for excess endowments in not-for-profit firms: (1) growth opportunities, (2) monitoring, or (3) agency problems. Inconsistent with growth opportunities, we find that most excess endowments are persistent over time, and that firms with persistent excess endowments do not exhibit higher growth in program expenses or investments. Inconsistent with better monitoring, program expenditures toward the charitable good are lower for firms with excess endowments, and CEO pay and total officer and director pay are greater for firms with excess endowments. Overall, we find that excess endowments are associated with greater agency problems.
USING RANDOM JUDGE ASSIGNMENTS TO ESTIMATE THE EFFECTS OF INCARCERATION AND PROBATION ON RECIDIVISM AMONG DRUG OFFENDERS

Most prior studies of recidivism have used observational data to estimate the causal effect of imprisonment or probation on the probability that a convicted individual is rearrested after release. Few studies have taken advantage of the fact that, in some jurisdictions, defendants are assigned randomly to judges who vary in sentencing tendencies. This study investigates whether defendants who are assigned randomly to more punitive judges have different recidivism probabilities than defendants who are assigned to relatively lenient judges. We track 1,003 defendants charged with drug-related offenses who were assigned randomly to nine judicial calendars between June 1, 2002 and May 9, 2003. Judges on these calendars meted out sentences that varied substantially in terms of prison and probation time. We tracked defendants using court records across a 4-year period after the disposition of their cases to determine whether they subsequently were rearrested. Our results indicate that randomly assigned variations in prison and probation time have no detectable effect on rates of rearrest. The findings suggest that, at least among those facing drug-related charges, incarceration and supervision seem not to deter subsequent criminal behavior.
Spiritual Treatment Exemptions to Child Medical Neglect Laws: What We Outsiders Should Think

When parents seek to direct their children's lives in ways otherwise prohibited by law, they are necessarily asking the State to make a decision about their children's lives. They are asking the State to change the rules for them, to give them greater power over children than other parents possess. There may be good reasons for doing so in some cases, but they must be reasons the State can endorse, from its perspective. This article explains why, from the State's perspective, there is no good reason to include spiritual treatment exemptions in medical neglect laws and there are strong reasons, grounded in the welfare and rights of children, not to include such exemptions.
Confronting the Crisis in Scientific Publishing: Latency, Licensing, and Access

The serials crisis in scientific publishing can be traced to the long duration of copyright protection and the assignment of copyright by researchers to publishers. Over-protection of scientific literature has enabled commercial publishers to increase subscription rates to a point at which access to scientific information has been curtailed with negative social welfare consequences. The uniformity costs imposed by such over-protection can be addressed by tailoring intellectual property rights, either through legal change or private ordering. Current open access channels of distribution offer alternative approaches to scientific publishing, but neither the Green OA self-archiving nor the Gold OA author-pays models has yet achieved widespread acceptance. Moreover, recent proposals to abolish copyright protection for academic works, while theoretically attractive, may be difficult to implement in view of current legislative and judicial dispositions. Likewise, funder open access mandates such as the NIH OA Policy, which are already responsible for the public release of millions of scientific articles, are susceptible to various risks and political uncertainty. In this article, I propose an alternative private ordering solution based on latency values observed in open access stakeholder negotiation settings. Under this proposal, research institutions would collectively develop and adopt publication agreements that do not transfer copyright ownership to publishers, but instead grant publishers a one-year exclusive period in which to publish a work. This limited period of exclusivity should enable the publisher to recoup its costs and a reasonable profit through subscription revenues, while restoring control of the article copyright to the author at the end of the exclusivity period. This balanced approach addresses the needs of both publishers and the scientific community, and would, I believe, avoid many of the challenges faced by existing open access models. * Associate Professor, American University Washington College of Law; J.D. Harvard Law School; B.S.E.E., B.A. Rice University. The author would like to thank Jonathan Baker, Harold Burstyn, Michael Carroll, Dan Cole, Brett Frischmann, John Golden, Eric Goldman, Mark Janis, Kimberly Kaphingst, Chuck McManis, Eric Priest, David Snyder, Arlene Zank and the late Elinor Ostrom for their helpful comments, suggestions and discussion, as well as the participants in the 2012 Junior Scholars in Intellectual Property Conference at Michigan State University, the Business Faculty Workshop at American University Washington College of Law and the Colloquium at Indiana University’s Workshop on Political Theory and Policy Analysis. An earlier draft of this paper was featured on Hearsay Culture hosted by David S. Levine, KZSU-FM Stanford University (initial broadcast Feb. 17, 2012, available at www.hearsayculture.com). SCIENTIFIC PUBLISHING CONTRERAS 2
On Intertemporal Selfishness: How the Perceived Instability of Identity Underlies Impatient Consumption

How does the anticipated connectedness between one’s current and future identity help explain impatience in intertemporal preferences? The less consumers are closely connected psychologically to their future selves, the less willing they will be to forgo immediate benefits in order to ensure larger deferred benefits to be received by that future self. When consumers’ measured or manipulated sense of continuity with their future selves is lower, they accept smaller-sooner rewards, wait less in order to save money on a purchase, require a larger premium to delay receiving a gift card, and have lower long-term discount rates.
Testing quantum chromodynamics with antiprotons

The antiproton storage ring HESR to be constructed at GSI will open up a new range of perturbative and nonperturbative tests of QCD in exclusive and inclusive reactions. I discuss 21 tests of QCD using antiproton beams which can illuminate novel features of QCD. The proposed experiments include the formation of exotic hadrons, measurements of timelike generalized parton distributions, the production of charm at threshold, transversity measurements in Drell-Yan reactions, and searches for single-spin asymmetries. The interactions of antiprotons in nuclear targets will allow tests of exotic nuclear phenomena such as color transparency, hidden color, reduced nuclear amplitudes, and the non-universality of nuclear antishadowing. The central tool used in these lectures are light-front Fock state wavefunctions which encode the bound-state properties of hadrons in terms of their quark and gluon degrees of freedom at the amplitude level. The freedom to choose the light-like quantization four-vector provides an explicitly covariant formulation of light-front quantization and can be used to determine the analytic structure of light-front wave functions. QCD becomes scale free and conformally symmetric in the analytic limit of zero quark mass and zero {beta} function. This ''conformal correspondence principle'' determines the form of the expansion polynomials for distribution amplitudes andmore » the behavior of non-perturbative wavefunctions which control hard exclusive processes at leading twist. The conformal template also can be used to derive commensurate scale relations which connect observables in QCD without scale or scheme ambiguity. The AdS/CFT correspondence of large N{sub C} supergravity theory in higher-dimensional anti-de Sitter space with supersymmetric QCD in 4-dimensional space-time has important implications for hadron phenomenology in the conformal limit, including the nonperturbative derivation of counting rules for exclusive processes and the behavior of structure functions at large x{sub bj}. String/gauge duality also predicts the QCD power-law fall-off of light-front Fock-state hadronic wavefunctions with arbitrary orbital angular momentum at high momentum transfer. I also review recent work which shows that the diffractive component of deep inelastic scattering, single spin asymmetries, as well as nuclear shadowing and antishadowing, cannot be computed from the LFWFs of hadrons in isolation.« less
The Evolving Relation between Earnings, Dividends, and Stock Repurchases*

Abstract This paper examines how the relation between earnings and payout policy has evolved over the last three decades. Three principal groups of payers have emerged: firms that pay dividends and make regular repurchases, firms that make regular repurchases, and firms that make occasional repurchases. Firms that only pay dividends are largely extinct. Repurchases are increasingly used in place of dividends, even for firms that continue to pay dividends. While other factors help explain the timing of repurchases, the overall level of repurchases is fundamentally determined by earnings. The results suggest that repurchases are now the dominant form of payout.
Raising Consumption Through India’s National Rural Employment Guarantee Scheme

Summary The Indian National Rural Employment Guarantee Scheme (NREGS) is one of the world's largest public works programs aimed at reducing poverty. NREGS guarantees up to a hundred days of employment in public works to rural households that demand work under the program. This is one of the first papers to analyze the impact of NREGS on household wellbeing by focusing on household consumption using national-level data. By focusing on consumption, I am able to assess whether and how household use the program to improve their living standards. I exploit the cross-district rollout of the program to analyze the causal effect on household consumption. Using the Consumption Expenditure Survey data from the National Sample Survey Organization, I conduct a difference-in-difference analysis where the treatment group consists of households in 184 early implementation districts and the control group consists of households in 209 late implementation districts. I find that the program significantly increased household per capita consumption between 6.5% and 10%. For the marginalized caste group, the program increased consumption by around 12%. Therefore, historical and ongoing discrimination along with other barriers to entry have not prevented this group from benefiting from the program. I further assess the impact on household budget allocation by focusing on various consumption categories. I find that households move toward the higher caloric and more nutritional items, like protein. Finally, for households with children there was significantly greater spending on “child goods” like milk, while in households without children spending on alcohol increased.
IS THERE AN INTRAHOUSEHOLD ‘FLYPAPER EFFECT’? EVIDENCE FROM A SCHOOL FEEDING PROGRAMME

Are public transfers targeted toward children neutralised by the household, as the theory of altruism implies, or is there an intrahousehold ‘flypaper effect’ whereby such transfers ‘stick’ to the child? This paper studies the impact of a school feeding programme on child caloric intake in the Philippines using a quasi-experimental methodology. The empirical results confirm an intrahousehold flypaper effect; indeed, they indicate virtually no intrahousehold reallocation of calories in response to the feeding programme. In poorer households, however, children’s gains from the programme appear to be ‘taxed’ more heavily.
Market Segmentation and Information Asymmetry in Chinese Stock Markets: A VAR Analysis

This study examines the market segmentation and information asymmetry patterns in Chinese stock markets. The recursive cointegration analysis confirms that each of six markets is not linked with other markets in the long run. Further, the result from data-determined forecast error variance decomposition clearly shows that foreign investors in the Shanghai B-share market are better informed than Chinese domestic investors in two A-share markets and foreign investors in Shenzhen and Hong Kong markets over time. The finding challenges a widespread assumption of less informed foreign investors in the literature, but suggests that foreign investors could be more informed in emerging markets.
Tort in Three Dimensions

Should our tort law serve as a model for other nations? The answer depends in part on what one understands it to be. Since the mid-Twentieth Century, progressives have favored 'thin' accounts that treat tort law as having but two dimensions: forum and function. Tort, they say, provides a general forum for grievances and, by doing so, performs certain governmental functions, such as deterrence of anti-social conduct, compensation of injury victims, and the bringing to light of abuses of power. Progressives have favored thin accounts mainly because those accounts emphasize the extent to which tort law enables courts to achieve social goods. Unfortunately, the very thinness of progressive accounts has left tort law highly vulnerable to the conservative criticism that tort is an irrational and illegitimate mode of regulation. As a result, tort law today tends to comes off as an unstable, unprincipled combination of certain plaintiff-friendly features that are said to serve salutary regulatory objectives and certain defendant-friendly features that are said to be necessary to ward off undesirable regulation. In fact, tort law’s "bipolar" appearance is an unfortunate byproduct of the inadequacies of two-dimensional accounts, whether progressive or conservative. Simply put, tort will inevitably appear arbitrary and mysterious until one appreciates its third dimension – its fill, or substance. Seen in "3D," tort law emerges as a relatively coherent body of law, yet still one that progressives have reason to embrace. Indeed, with tort law in full view, one might even believe that it can profitably be emulated elsewhere.
Category Errors and Executive Power

In the context of implementing the Affordable Care Act and the Clean Air Act, the Obama Administration has asserted not only the authority to determine when, and how stringently, to enforce relevant provisions, but also the authority to waive or delay legal obligations enacted by Congress. These actions have prompted accusations that the Administration is exceeding the proper bounds of executive authority. The ensuing debate – and litigation – over these actions has generated a good deal of confusion about the nature and scope of executive power. Commentators have often misunderstood or mischaracterized the nature of the acts taken and their potential legal justifications, blurring the distinction between permissible executive discretion over matters of enforcement with broader discretion to adjust legal benefits and burdens. The purpose of this brief essay, prepared for a symposium at the Florida International University Law School, is to provide some clarity in the muddled discussion over executive power. Specifically, the aim is to help clarify what sorts of actions taken by the executive branch can be properly characterized as “enforcement” actions – where the President’s inherent authority to exercise prosecutorial discretion applies – and what sorts of actions do not.
When Bank Examiners Get It Wrong: Financial Institution Appeals of Material Supervisory Determinations

Banks and credit unions sometimes complain that the examination process regulators use to police banking practices is oppressive. These financial institutions complain that regulators reach unduly negative examination conclusions known as “material supervisory determinations.” Institutions are wary because negative determinations can subject an institution to further regulatory scrutiny or enforcement actions. To guard against erroneous determinations, Congress, in 1994, enacted a statute requiring federal financial institution regulators to provide an appeals process. Each of the four regulators (the Office of the Comptroller of the Currency, the Federal Reserve, the Federal Deposit Insurance Corporation, and the National Credit Union Administration) adopted a unique material supervisory determination appeals process. † © 2015 Julie Andersen Hill.  Associate Professor of Law, University of Alabama School of Law. I am grateful to Samuel P. Golden, Larry L. Hattix, Joy K. Lee, and Hattie M. Ulan who shared their regulatory experiences with me. Their helpfulness does not necessarily indicate agreement with my conclusions. Ashlin Aldinger provided excellent research assistance, and Michael Hill provided invaluable help with the appeals data. Without them, the process of writing this article would not have been nearly as fun. I am indebted to William Andreen, Emily Bremer, Shahar Dillbary, Ronald Krotoszynski, and Andrew Morriss for their comments on earlier drafts of this article. Finally, I appreciate the opportunities to present this work at the Federal Reserve Bank of St. Louis’ Conference on Community Banking in the 21st Century and Indiana University Maurer School of Law’s faculty workshop series. Comments I received in these venues were particularly astute. Washington University Open Scholarship 1102 WASHINGTON UNIVERSITY LAW REVIEW [VOL. 92:1101 Using data (some collected through Freedom of Information Act requests) about material supervisory decision appeals since 1994 and interviews with top regulators, this Article provides the first in-depth analysis of the appeals processes. It shows that the appeals processes are sometimes dysfunctional and seldom used. To improve the appeals processes, the Article recommends three changes. First, once a regulator issues a material supervisory determination, financial institutions should have direct access to a dedicated appellate authority outside of the examination function. Second, the appellate authority should engage in a robust review; it should consider a broad scope of appealable matters and employ a clear and rigorous standard of review. Third, regulators should release detailed information about each decision reached by the appellate authority.
Notes on dynamic factor pricing models

These notes discuss three aspects of dynamic factor pricing (i.e., APT) models. First, the diversifiable component of returns is unpredictable in a no-arbitrage world. Second, conditional factor loadings or betas have an unconditional factor structure when returns follow an unconditional factor structure, which provides a link between conditional and unconditional factor pricing models. Third, the estimation of dynamic factor pricing models is easily simplified in large cross sections when returns follow an unconditional factor structure. These results aid in the interpretation of existing applications and identify some of the issues in the formulation and estimation of dynamic factor pricing models.
Hitting Streaks Don't Obey Your Rules: Evidence that Hitting Streaks Aren't Just By-Products of Random Variations

There have been more hitting streaks in Major League Baseball than we would expect if hitting streaks were just the result of random chance (ie, if the independence assumption were true). All batting lines of MLB hitters from 1957-2006 were randomly permuted 10,000 times and the number of hitting streaks of each length from 2 to 100 was measured. The average count of each length streak was then compared to the corresponding total from real life, when the games were in chronological order. The number of streaks in real life was significantly higher than the average over the random permutations, and the spread between real life and the permutations increased as streak length increased. Non-starts (such as pinch-hitting appearances) were removed since these may be unduly reducing the number of streaks in the permutations; the number of streaks in the permutations more closely matched real life but longer streaks (30 games) were still significantly lower than real-life totals. Possible explanations are given for why more streaks have appeared in real-life than we would expect, including weather, stadium/ballpark, opposing pitching, changes in strategy, and possibly the hot hand idea.
Collaring the Cube: Protection Options for a QQQ ETF Portfolio

This article assesses the effectiveness of a long collar as a protective strategy. It examines the risk/return characteristics of a passive collar strategy on the Powershares QQQ trust exchange-traded fund from March 1999–2008 and finds that, over this time period, a six-month put/one-month call collar provides far superior returns to the buy-and-hold QQQ strategy with significantly less volatility. Since returns from protective strategies are not normally distributed, both Leland alpha and the Stutzer index are used to measure risk-adjusted performance. In addition, a number of implementations of a long collar strategy are considered, where for each strategy the impact of bid/ask spreads on the strategy9s perfor mance is taken into account. To examine the collar9s performance in different market environments, the time period is further segmented into two sub-periods, an early period that is generally favorable to the collar and a later period that is unfavorable to a collar strategy. The magnitude of the risk reduction of the collar is significant.
Closing Small Open Economy Models

Abstract The small open economy model with incomplete asset markets features a steady-state that depends on initial conditions and equilibrium dynamics that possess a random walk component. A number of modifications to the standard model have been proposed to induce stationarity. This paper presents a quantitative comparison of these alternative approaches. Five different specifications are considered: (1) A model with an endogenous discount factor (Uzawa-type preferences); (2) a model with a debt-elastic interest-rate premium; (3) a model with convex portfolio adjustment costs; (4) a model with complete asset markets; and (5) a model without stationarity-inducing features. The main finding of the paper is that all models deliver virtually identical dynamics at business-cycle frequencies, as measured by unconditional second moments and impulse response functions. The only noticeable difference among the alternative specifications is that the complete-asset-market model induces smoother consumption dynamics.
Methods and measures that profile heavy users

ABSTRACT Heavy users can be a critical segment for packaged-goods marketers to target. Yet many attempts to profile heavy users have proven to be unsuccessful because of methodological and measurement problems. This article shows the diagnostic shortcomings of the commonly used mean comparison method of heavy-user segmentation, and it presents a clustering method that effectively differentiates different types of heavy users from light users. Characteristics that differentiate heavy and light users were collected from academic and commercial studies and are shown to relate to five basic lifestyle factors and six personality sectors. Whilse providing a key starting point for studying heavy users, they also show the dominant role that personality characteristics (as opposed to lifestyle or demographic characteristics) play in differentiating heavy and light users.
Corporate Payout Policy

1 Introduction. 2 Basic theory: The need to distribute FCF is foundational. 3 Security valuation problems, agency costs, and optimal payout policy. 4 Corporate payouts: Scale, concentration, and earnings linkage. 5 Payouts and earnings: A closer look. 6 Are dividends disappearing? 7 Why do dividends survive? 8 Signaling and the information content of dividends. 9 Behavioral influences on payout policy. 10 Clientele effects: Transaction costs, institutional ownership, and payout policy. 11 Controlling stockholders and payout policy. 12 Taxes and payout policy. 13 The advantages of stock repurchases. 14 Conclusion: What we know about payout policy and promising areas for future research. Appendix: Microsoft's dividend and stock buyback plans. References.
A computational general equilibrium approach to sectoral analysis for tax potential: An application to Pakistan ☆

Abstract This study develops a dynamic general equilibrium model, applied to Pakistani data, in which optimizing agents evade taxes by operating in the underground economy. The cost to firms of evading taxes is that they find themselves subject to credit rationing from banks. Our model simulations show that in the absence of budgetary flexibility to adjust expenditures, raising tax rates too high drives firms into the underground economy, thereby reducing the tax base. Aggregate investment in the economy is lowered because of credit rationing. Taxes that are too low eliminate the underground economy, but result in unsustainable budget and trade deficits. Thus, the optimal rate of taxation, from a macroeconomic point of view, may lead to some underground activity. We note, in particular, that incorporating a VAT without any other tax reductions greatly reduces the tax compliance of the service sector. We have applied our model to Pakistan, and have calibrated our model to an 8 year period from 2004 to 2011. We note that it gives a reasonable approximation of Pakistani macro data. We then use a sectoral breakdown of tax data generated by the model to estimate tax gaps on a sector by sector basis. We note that certain sectors are currently paying taxes below their potential, while others may be above their tax potential. These sectoral gap estimates may be used as indicators of where greater tax enforcement efforts should be directed.
A History of International Law in the Vernacular

Histories of international law have typically focused on the origins of legal rules and doctrines, the decisions of courts and other formal tribunals, the views of professors and legal theorists and diplomats, and the evolution of the legal profession. That is, international legal histories have centered on the concerns of lawyers and states and have reflected a positivist vision of international lawmaking. We need a history of international law that focuses more on international law in action — the invocation, elaboration, and contestation of rules in and through their everyday application, not just by states, high-level state actors, legal theorists, and state-organized domestic and international institutions, but also by individuals, low-level officials, private groups, and nongovernmental actors and in places outside of the usual fora where “international law” is said to be found. We need a history of international law in the vernacular.
Religion and work: Micro evidence from contemporary Germany

Abstract Using micro data from contemporary Germany, this paper studies the connection between Protestantism and modern-day labor market outcomes. To address the endogeneity in self-declared religion, I exploit a provision in a sixteenth-century peace treaty, which determined the geographic distribution of Catholics and Protestants. Reduced form and instrumental variable estimates provide no evidence of an effect of Protestantism on hourly wages. However, relative to their Catholic counterparts, Protestants do appear to work longer hours. The patterns in the data are difficult to reconcile with explanations based on institutional factors or religious differences in human capital acquisition. Religious differences in individuals’ values, however, can account for most of the estimated effects.
The conditional CAPM does not explain asset-pricing anomalies☆

Abstract Recent studies suggest that the conditional CAPM holds, period by period, and that time-variation in risk and expected returns can explain why the unconditional CAPM fails. In contrast, we argue that variation in betas and the equity premium would have to be implausibly large to explain important asset-pricing anomalies like momentum and the value premium. We also provide a simple new test of the conditional CAPM using direct estimates of conditional alphas and betas from short-window regressions, avoiding the need to specify conditioning information. The tests show that the conditional CAPM performs nearly as poorly as the unconditional CAPM, consistent with our analytical results.
Optimal Bank Regulation and Monetary Policy

A unified model of monetary policy and bank regulation is presented. In accordance with modern banking theory, banks not only intermediate loans and deposits but also provide a financial service affecting aggregate output. Optimal parameter settings for monetary and regulatory policy are derived. New results are that monetary policy affects the expected level as well as the variance of output, bank regulation should change continually in response to the state of the economy, and bank regulation and monetary policy should be tightly coordinated. This last result has important implications for the institutional arrangements for conducting regulatory and monetary policy.
The marginal price effects of antitrust rules against price discrimination

Abstract The two central pricing rules contained in most antitrust laws are prohibitions of below-cost pricing and prohibitions of discriminatory pricing. This article shows that the rule against discriminatory pricing may actually induce firms to charge exclusionary below-cost prices, even in the complete absence of any predatory intent on the part of firms.
An Open Access Distribution Tariff: Removing Barriers to Innovation on the Smart Grid

This Article proposes that the Federal Energy Regulatory Commission (FERC) consider promulgating an Open Access Distribution Tariff (OADT) to open the nation's electric grid to new products and services at the consumer (distribution) level. Design of the OADT would be comparable to the Open Access Transmission Tariff that the FERC has used previously to open the nation's transmission wires. This Article argues that an OADT is necessary to create a smart electricity network that would be national, multimodal, and interactive. There is no smart electricity network at present, and there are numerous barriers to the development of open networking, such as obstacles to open access, lack of consumer demand for such a network and its products, resistance of incumbent utilities, and a variety of other factors. An open access principle will likely be necessary, but the timing of such regulation is of critical importance. This Article argues that regulatory establishment of an open access principle will eventually be necessary-and to assess when open access might be desirable, this Article examines the revolutionary transformations that took place in three regulated industries: telecommunications, electricity restructuring, and finance. This Article examines key near-term and long-term questions involving an OADT's timing and development by analyzing these regulated industries using three criteria: (1) signifiers of when a transition would be necessary and conditions that might make open access more desirable to industry actors, (2) regulatory prerequisites necessary in the near term, and (3) risks involved in drawing lessons from the specific regulatory transformation (including federalism concerns). This Article concludes that rather than waiting for an organic transformation of the electric grid and evolution of open networking, a deliberate path of preparatory work will best set the foundation for
Why Liquidity Matters to the Export Decision of the Firm

Under financial constraints, exporting may have less to do with productivity and more to do with financial resources. The established relationship between exporting and productivity would differ when examined through the lens of the working capital needs of the firm. The hypothesis that working capital matters in the firm's exporting decision is explored in two ways: first, by articulating a dynamic working capital model of the firm that incorporates the firm's export decision. Secondly, by testing the hypothesis empirically using a unique firm level dataset from Bangladesh, where issues of financial constraints are particularly acute. The model shows that productivity determines export status of the firm as long as it is not under financial constraints. However, under financial constraints, export status is less dependent on productivity and more dependent on the availability of working capital. Empirical results support the model's prediction. The relationship between exporting time and the need for greater liquidity is also borne out empirically as shown by a positive and significant correlation between the amount of working capital and the distance of export destination. An important policy implication from the analysis is that short term liquidity is critical in allowing productive firms to export and that access to finance may prevent the benefits of trade liberalization within a country to be fully realized.
Establishing legitimacy in the secondary ticket market: A case study of an NFL market

Abstract As a result of the occasional unethical business practices of its members, such as price gouging and ticket fraud, the secondary ticket market for sporting events has struggled to gain legitimacy from the perspective of leagues, teams, and consumers. However, as this industry has grown exponentially in the past decade with the advent of the Internet, entities that resell tickets have implemented several strategies for improving the negative images resulting from these unethical practices. As primary and secondary ticketing operations continue to merge through secondary market sponsorships, teams and other sport properties must carefully consider public perceptions of this market before determining their own level of involvement with it. Understanding what strategies the members of the secondary market use to repair and enhance these perceptions is the first step in making that judgment. The purpose of this study was to examine the legitimacy-building strategies in a National Football League (NFL) market for each segment of the secondary ticket market (scalpers, licensed ticket brokers, and secondary ticket market websites). Additionally, a new strategy for legitimacy-building (legitimacy acquisition) is also presented.
Error Projection and Uncertainty in the Evaluation of Aggregate Error

At the end of the audit process, auditors evaluate the risk that aggregate financial statement error exceeds materiality. This evaluation is complex in that it requires a consideration of known error, projected error, and sampling risk related to various segments of the audit. If the risk of material aggregate error is unacceptably high, the auditor can require the client to make adjustments for known and/or projected errors to reduce audit risk to an acceptable level. Results of an experiment indicate that auditors tend to underestimate the effect of both projected error and uncertainty when evaluating aggregate error and the need for adjustments to financial statements. Auditors were provided information about known errors in four accounts and the results of sampling applied to two additional accounts for a hypothetical audit case. They were then asked to indicate the adjustments to the financial statements, which would be required before issuing a “clean” audit opinion. Comparisons of auditors' require...
Iqbal and Supervisory Immunity

I. IQBAL AND SUPERVISORY LIABILITY 1294 A. The Law Before Iqbal 1294 B. The Supreme Court’s Reasoning in Iqbal 1296 C. Section 1983’s Language and Legislative History 1297 D. Policy Considerations 1299 II. SUPERVISORY LIABILITY AND QUALIFIED IMMUNITY 1300 III. IQBAL‟S IMPACT 1308 A. Limiting the Damage 1308 B. The Post-Iqbal Record 1312 IV. CONCLUSION 1314
B-physics phenomenology with emphasis on the light-cone

Abstract Theoretical overviews on the B-physics are presented with an emphasis on the light-cone degrees of freedom. Our new treatment of the embedded states seems to give an encouraging result.