Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets

It is often useful to price assets and other random payoffs by reference to other observed prices rather than construct full-fledged economic asset pricing models. This approach breaks down if one cannot find a perfect replicating portfolio. We impose weak economic restrictions to derive usefully tight bounds on asset prices in this situation. The bounds basically rule out high Sharpe ratios - `good deals' - as well as arbitrage opportunities. We present the method of calculation, we extend it to a multiperiod context by finding a recursive solution, and we apply it to option pricing examples including the Black-Scholes setup with infrequent trading, and a model with stochastic stock volatility and a varying riskfree rate.

Product Development and the Timing of Information Disclosure under U.S.and Japanese Patent Systems

This paper examines the consequences of the differences in the timing of information disclosure between the U.S. and Japanese patent systems. Under the Japanese system it is possible for a firm to apply for a patent knowing the exact specifications of a rival's patent application. In contrast, in the U.S. the only way a firm learns about a rival's innovation is upon the actual granting of the rival's patent. We argue that this difference enables Japanese firms to coordinate their R&D efforts better than their U.S. counterparts and that this, in turn, leads to smaller quality improvements under the Japanese system. We show that the creation/diffusion tradeoff of patents can be influenced not only by the scope and length of patent protection but also by other features of the patenting process.

The Term Structure of Interest Rates in a Pure Exchange Economy with Heterogeneous Investors

This paper presents an equilibrium model of the term structure of interest rates when investors have heterogeneous preferences. The basic model considers a pure exchange economy of two classes of investors with different (but constant) relative risk-aversion and gives closed-form solutions to bond prices. We use the model to examine the effect of preference heterogeneity on the behavior of bond yields. Extensions to cases of more than two investors are also considered.

Do Firms Smooth the Seasonal in Production in a Boom? Theory and Evidence

Using disaggregated production data we show that the size of seasonal cycles changes significantly over the course of the business cycle. In particular, during periods of high economy-wide activity, some industries smooth seasonal fluctuations while others exaggerate them. We interpret this finding using a simple analytical model that describes the conditions under which seasonal and cyclical fluctuations can be separated. Our model implies that seasonal fluctuations can safely be disentangled from cyclical fluctuations only when the marginal cost of production is linear, and the variation in demand and cost satisfy certain (restrictive) conditions. The model also suggests that inventory movements can be used to isolate the role of demand shifts in generating any interaction between seasonal cycles and business cycles. Thus, the empirical analysis involves studying the variation in seasonally unadjusted patterns of production and inventory accumulation over different phases of the business cycle. Our finding that seasonals shrink during booms and that firms carry more inventories into high sales seasons during a boom leads us to conclude that for several industries, marginal cost slopes up at an increasing rate. Conversely, in a couple of industries we find that seasonal swings in production are exaggerated during booms and that inventories are drawn down prior to high sales seasons, suggesting that marginal costs curves flatten as production increases. Overall, we find considerable evidence that there are non-linear interactions between business cycles and seasonal cycles.

Engines of Growth: Domestic and Foreign Sources of Innovation

We examine productivity growth since World War II in the five leading research economies: West Germany, France, the United Kingdom, Japan, and the United States. Available data on the capital-output ratio suggest that these countries grew as they did because of their ability to adopt more productive technologies, not because of capital deepening per se. We present a multicountry model of technological innovation and diffusion which has the implication that, for a wide range of parameter values, countries converge to a common growth rate, with relative productivities depending on the speed with which countries adopt technologies developed at home and abroad. Using parameter values that fit a cross section of data on productivity, research, and patenting, we simulate the growth of the five countries, given initial productivity levels in 1950 and research efforts in the subsequent four decades. Based on plausible assumptions about 'technology gaps' that existed among these countries in 1950 we can explain their growth experiences quite successfully. Specifically, the simulations capture the magnitude of the slowdown in German, French, and Japanese productivity growth and the relative constancy of U.K. and U.S. growth.

Enargite by XPS

X-ray photoelectron spectroscopy was used for characterizing the enargite surface. Freshly cleaved samples were analyzed at liquid nitrogen temperature. Enargite is a copper arsenic sulfide of formula Cu3AsS4; it is used as a minor ore of copper. Enargite is a potential source of arsenic and may create environmental problems through the release of toxic elements upon oxidatio

Capital Utilization and Returns to Scale

This paper studies the implications of procyclical capital utilization rates for inference regarding cyclical movements in labor productivity and the degree of returns to scale. We organize our investigation around five questions that we study using a measure of capital services based on electricity consumption: (1) Is the phenomenon of near or actual short run increasing returns to labor (SRIRL) an artifact of the failure to accurately measure capital utilization rates? (2) Can we find a significant role for capital services in aggregate and industry level production technologies? (3) Is there evidence against the hypothesis of constant returns to scale? (4) Can we reject the notion that the residuals in our estimated production functions represent technology shocks? (5) How does correcting for cyclical variations in capital services affect the statistical properties of estimated aggregate technology shocks? The answer to the first two questions is: yes. The answer to the third and fourth questions is: no. The answer to the fifth question is: a lot.

AKARI's infrared view on nearby stars : Using AKARI Infrared Camera All-Sky Survey, 2MASS, and Hipparcos catalog

--Results-- We found that the (B-V) v.s. (V-S9W) color-color diagram is useful to identify the stars with infrared excess emerged from circumstellar envelopes/disks. Be stars with infrared excess are well separated from other types of stars in this diagram. Whereas (J-L18W) v.s. (S9W-L18W) diagram is a powerful tool to classify several object-types. Carbon-rich asymptotic giant branch (AGB) stars and OH/IR stars form distinct sequences in this color-color diagram. Young stellar objects (YSOs), pre-main sequence (PMS) stars, post-AGB stars and planetary nebulae (PNe) have largest mid-infrared color-excess, and can be identified in infrared catalog. Finally, we plot L18W v.s. (S9W-L18W) color-magnitude diagram, using the AKARI data together with Hipparcos parallaxes. This diagram can be used to identify low-mass YSOs, as well as AGB stars. We found that this diagram is comparable to the [24] vs ([8.0]-[24]) diagram of Large Magellanic Cloud sources using the Spitzer Space Telescope data. Our understanding of Galactic objects will be used to interpret color-magnitude diagram of stellar populations in nearby galaxies which Spitzer Space Telescope has observed. --Conclusions-- Our study of the AKARI color-color and color-magnitude will be used to explore properties of unknown objects in future. In addition, our analysis highlights a future key project to understand stellar evolution with circumstellar envelope, once the forthcoming astronometrical data with GAIA are available.Comment: 14 pages, 11 figures, accepted for publication in A&A. High resolution version is available at: http://www.ir.isas.jaxa.jp/%7Eyita/allsky20100302.pdf (26Mb

Risk Taking by Mutual Funds as a Response to Incentives

This paper examines the agency conflict between mutual fund investors and mutual fund companies. Investors would like the fund company to use its judgement to maximize risk-adjusted fund returns. A fund company, however, in its desire to maximize its value as a concern has an incentive to take actions which increase the inflow of investment. We use a semiparametric model to estimate the shape of the flow-performance relationship for a sample of growth and growth and income funds observed over the 1982-1992 period. The shape of the flow-performance relationship creates incentives for fund managers to increase or decrease the riskiness of the fund which are dependent on the fund's year-to-date return. Using a new dataset of mutual fund portfolios which includes equity portfolio holdings for September and December of the same year, we show that mutual funds do alter their portfolio riskiness between September and December in a manner consistent with these risk incentives.