Appraisal, Agency and Atypicality: Evidence from Manufactured Homes

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/73056/1/j.1540-6229.2005.00128.x.pd

Pension reform, the stock market, capital formation and economic growth: a critical commentary on the World Bank's proposals

Abstract Proposing far-reaching reforms to the pension systems, the World Bank has recently suggested that the existing pay-as-you-go pension systems in many rich as well as poor countries, should be replaced by fully funded, mandatory, preferably private pensions, as the main pillars of the new system. It argues that these reforms will not only benefit the pensioners, but also enhance savings, promote capital formation and economic development. This paper provides a critical examination of the Bank's theses and concludes that it has adopted a one-sided view of the relationships between the key critical variables. The proposed reform may therefore neither protect the old nor achieve faster economic growth

Price Momentum and Idiosyncratic Volatility

We find that returns to momentum investing are higher among high idiosyncratic volatility ( IVol) stocks, especially high IVol losers. Higher IVol stocks also experience quicker and larger reversals. The findings are consistent with momentum profits being attributable to underreaction to firm-specific information and with IVol limiting arbitrage of the momentum effect. We also find a positive time-series relation between momentum returns and aggregate IVol. Given the long-term rise in IVol, this result helps explain the persistence of momentum profits since Jegadeesh and Titman's (1993) study. Copyright (c)2008, The Eastern Finance Association.

What explains price volatility changes in commodity markets ? : answers from the world palm oil market

What are the sources of commodity prices volatility changes? This is the question we try to answer. Limited to palm oil market (1818-1999), our hypothesis is that the superimposition of short distance operators, located near the export supply, whose expectation horizon is limited to a few weeks, to long-distance operators further off the export supply, whose expectation horizon exceeds six months to one year, is responsible for volatility changes and market's instability. Because of the superimposition of horizons of trade, volatility changes and grows along with the development of short-distance trade. We prove this hypothesis using a trader-behaviour model derived from Day and Huang (1990) and Day (1994). Our simulation results challenge the argument that trade liberalisation and a market size enlargement sohuld help to reduce commodity prices volatility (résumé de l'auteur