This paper investigates the convergence of long-term ex ante real interest rates (RIRs) obtained from Canadian, French, UK, and U.S. inflation indexed government bonds. In contrast to previous research, our evidence suggests full convergence in the long run and, hence, capital market integration. For the same sample period, global convergence is rejected for RIRs measured in conventional terms.…
Estimates of the half-life to convergence of prices across a panel of cities are subject to bias from three potential sources: inappropriate cross-sectional aggregation of heterogeneous coefficients, presence of lagged dependent variables in a model with individual fixed effects, and time aggregation of commodity prices. This paper finds no evidence of heterogeneity bias in annual CPI data for …
We study the evolution of price level dispersion in Europe by combining time-series information on harmonized indices of consumer prices (HICPs) with occasional observations of absolute price levels. We find that European price levels converged over much of the last 40 to 50 years. In the United States, our benchmark, price level dispersion is more or less stable. A back-of-the-envelope calcula…
When a company is added to the S&P 500 Index, it receives a positive price response. Several explanations for this effect have been suggested, but empirical findings do not provide a conclusive cause. The inclusion of a company in the index may strengthen managerial incentives to provide high-quality disclosures of financial data. This study is an examination of the earnings quality of S&P 500 …
Investigation of an index of returns on professionally managed currency funds and a subset of returns from 34 individual currency fund managers finds that over the 1990-2006 period, currency fund managers earned excess returns averaging 25 bps per month. The study examines the relationship of these returns to four factors that represent the returns from distinct styles of currency trading-carry…
With inflation in the United States and elsewhere low by historical standards, the question of what inflation rate to aim for has moved front and center. Knowing what inflation rate to aim for is critically important for maximizing the economic well-being of the public. Most policymakers agree they should not allow inflation to fall below zero because the costs of deflation are thought to be hi…
This paper complements a recent study by Ramos-Rodriguez and Ruiz-Navarro (2004) that investigated the intellectual structure of the strategic management field through co-citation analysis. By using authors as the units of analysis and incorporating all the citations that are included in the Science Citation Index and the Social Science Citation Index, we trace the evolution of the intellectual…
A new theory of finance is being advanced as providing definitive proof that holding stocks in proportion to their market capitalizations is an inferior investment strategy. The claim is that capitalization weighting necessarily invests more in overvalued stocks and less in undervalued stocks. Dubbed the "noisy market hypothesis," the theory is being used to advocate investments in non-cap-weig…
Measures developed for the analysis of corporate diversification have become fundamental to a broad range of strategy research. This paper examines the content validity of the 2 most widely used continuous measures of related diversification - the related component of the entropy index and the concentric index - and raises fundamental questions about their validity as indicators of portfolio re…
We provide empirical evidence that stock market crises are spread globally through asset holdings of international investors. By separating emerging market stocks into two categories, namely, those that are eligible for purchase by foreigners (accessible) and those that are not (inaccessible), we estimate and compare the degree to which accessible and inaccessible stock index returns co-move wi…
Penelitian ini membahas tentang aglomerasi dan kaitannya terhadap pertumbuhan ekonomi regional di Indonesia dengan mengambil studi kasus provinsi di pulau jawa selama kurun waktu 1996 sampai 2007. Tingkat aglomerasi diukur dengan tiga pendekatan yaitu dengan menggunakan indeks Balassa, entropi, dan Krugman. Penelitian ini bertujuan untuk mengetahui apakah aglomerasi yang diukur dengan indeks-in…
Includes indexes
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Ada tabel
Includes bibliographies and index.
Includes bibliographies and index.
Includes bibliographies and index.