Determinants of Financial vs. Non Financial Stock Returns: Evidence from Istanbul Stock Exchange

We estimate a four-factor model for a sample of financial and nonfinancial firms traded on the Istanbul Stock Exchange (ISE). The factors relate to market return, interest, inflation and exchange rates. By investigating the effects of these factors simultaneously for different exchange rate regimes, we show that market return, interest, inflation, and exchange rates play a separate role in financial and nonfinancial firms´ stock returns. We also show that all factors are priced during the period of free float. These results are important for determining financial institutions' cost of capital and for identifying the risks that should be hedged

Middle-class Offenders as Employees – Assessing the Risk:A 35-year Follow-up

A 35-year follow-up of a series of 317 middle-class offenders in England and Wales suggests that the dangers of employing offenders may be more limited than expected. Although 40% were subsequently convicted, only 8% were subsequently convicted of offenses that directly and adversely affected an employer. This work should challenge the “exaggerated fears” of employers. Interestingly, variables which normally predict subsequent criminal activity made no impact in trying to predict offenses against an employer

Relative Price Variability : The Case of Turkey 1994-2002

Relative price variability leads to inefficiencies in the allocation of resources that reduce real income (Fischer, 1981). Given the costs associated with relative price variability, the relation between inflation and relative price variability was extensively researched and a positive relation between the two was documented for many countries and for varying time periods. Furthermore, one of the main sources of relative price variability being differential speeds of price adjustment in different sub-sectors, renders the investigation of relative price variability valuable also in terms of understanding the inflationary dynamics. In this paper, highly disaggregated data based on 103 classification of Turkish CPI for the period between January 1994 and December 2002 are utilised. The statistical findings based on Theil (1967) measure of relative price variability, are analyzed from different perspectives : seasonal pattern, time aggregation, different sub-groups, e.g. tradable/non-tradable prices, administered/non-administered prices etc. Resulting stylized facts about recent dynamics of inflation are presented. The relation between relative price variability and inflation is verified by carrying out model-free regressions. The results show that there is a positive contemporaneous association between relative price variability and inflation in Turkey. Besides, inflation is found to Granger-cause relative price variability. These conclusions are shown to be robust to the degree of commodity aggregation.Relative Price Variability, Inflation, Turkish Inflation

Preferences and Heterogeneous Treatment Effects in a Public School Choice Lottery

This paper combines a model of parental school choice with randomized school lotteries in order to understand the effects of being assigned to a first-choice school on academic outcomes. We outline a simple framework in which those who place the highest weight on academics when choosing a school benefit the most academically when admitted. Although the average student does not improve academically when winning a school lottery, this average impact conceals a range of impacts for identifiable subgroups of students. Children of parents whose choices revealed a strong preference for academic quality experienced significant gains in test scores as a result of attending their chosen school, while children whose parents weighted academic characteristics less heavily experienced academic losses. This differential effect is largest for children of parents who forfeit the most in terms of utility gains from proximity and racial match to choose a school with stronger academics. Depending on one's own race and neighborhood, a preference for academic quality can either conflict with or be reinforced by other objectives, such as a desire for proximity and same-race peers.

Liquidity Constraint and Household Portfolio in Japan

In this paper, we analyze the financial asset selection behavior of Japanese households. Especially, we focus on whether or not liquidity constraint decreases the amount of a householdfs risky assets. To investigate this, we first empirically examine which types of household suffer from liquidity constraint. Then, based on the probability obtained from this first stage, we use the Tobit model to estimate the risky asset ratio (=risky asset/total financial asset), and examine the relationship between liquidity constraint and household portfolio. Our results show that the more households suffer from liquidity constraint, the less the households hold risky assets. This is consistent with previous empirical research on Italian households, implemented by Guiso et al.(1996). Our research suggests that the Japanese post-war financial system, which has provided money primarily to the industrial sector rather than the household sector (e.g. consumer loans), might lower the amount of risky assets held by Japanese households.risky asset ratio, liquidity constraint, household portfolio, saving rate