Showing papers by "Indian Institute of Management Bangalore published in 2000"

Trading Activity and Expected Stock Returns

Abstract: We analyze the relation between expected equity returns and the level as well as the volatility of trading activity. We document a negative cross-sectional relationship between stock returns and the variability of dollar trading volume and share turnover, after controlling for size, book-to-market, momentum, and the level of dollar volume or share turnover. This effect survives a number of robustness checks and is statistically and economically significant. Our analysis highlights the importance of trading activity related variables in the cross-section of expected stock returns.

Of Shepards, Sheep, and the Cross-Autocorrelations in Equity Returns

Abstract: We present an economic mechanism, and supportive empirical evidence, for the transmission of information between equity securities first documented by Lo and MacKinlay (1990). It is argued that the past returns on stocks held by informed institutional traders will be positively correlated with the contemporaneous returns on stocks held by noninstitutional uninformed traders. Evidence consistent with this hypothesis is then presented. We document that the returns on the portfolio of stocks with the highest level of institutional ownership lead the returns on portfolios of stocks with lower levels of institutional ownership. This effect persists after firm size is controlled for and is apparent at longer lags than the size-related lag effects documented in Lo and MacKinlay (1990).

Voluntary Siting and Equity: The MRS Facility Experience in Native America

Abstract: This article focuses on aspects of intragenerational and intergenerational equity in the context of a unique policy experiment: the effort of the U.S. government to site a monitored, retrievable storage (MRS) facility for high-level civilian nuclear waste. This process and its outcomes are examined from both normative and subjective perspectives. While the MRS siting process was designed to be equitable, its eventual focus on Native American communities raises profound questions about environmental justice, as well as procedural, outcome, and intergenerational equity in cross-cultural contexts. The diverse reactions among Native American tribes demonstrate that translating theoretical concepts of equity into practice is an extraordinarily complex exercise. The MRS siting process, instead of being a bold policy experiment that promoted equity, emerges substantially flawed after its implementation in the Native American context.

Methodological Issues in Community‐based Studies of Gynecological Morbidity

Abstract: This report describes the lessons learned from a series of community-based studies of gynecological morbidity among young married women in Karnataka State, India. Women's self-reports of symptoms of illness were found to be responsive to the context of the interview and the nature of questioning. In particular, women appeared much readier to report symptoms to lay interviewers after being invited to undergo a clinical examination in the near future than they were if no examination were offered. Little consistency was found in the results obtained from interviews, clinical examinations, and laboratory tests. Apparently, no alternative exists to the collection of biological specimens for laboratory analysis when estimates of disease prevalence are needed. Use of generic health-related quality-of-life assessments is recommended for future surveys. Prospective studies will yield more valuable data on these topics than will cross-sectional surveys.

The Evolution and Structure of the Two Wheeler Industry in India

Abstract: This paper studies the evolution of the competitive structure of the two-wheeler industry in India. The evolution of the industry's competitive structure is traced using Kendall's index of Rank Concordance and the Evans-Karras test of convergence. The industry seems to be characterized by oligopoly with the onset of economic reforms in 1991 not making much difference to industrial structure. Convergence of sales and capacity at the level of the industry is conditional while it is absolute at the level of the segment.

Noisy Vertical Markets

Abstract: In vertical markets volatility at one level of the market may transmit itself to another level. This paper examines the linkages that exist between spreads at different levels of the market hierarchy in Indian rice markets. It highlights the behavior of spreads in the presence of information asymmetry. This causes spreads to overshoot their equilibrium values. Second, we model possible differences between the reaction to an upward revision of the spread from that to a downward revision. We also propose policy prescriptions such that the policy maker can target specific levels of the market verticality given an understanding of the process of transmission and the magnitude of noise trading.

Total Quality Management: How can We Make the Implementation Effective?

Abstract: Total Quality Management (TQM) has been extensively adopted by many organizations but has not necessarily resulted in the desired levels of effectiveness. A large number of failures have been attributed to faulty implementation. This paper presents the results of a study of implementation processes in hospitals. It examines the role of vision, leadership, momentum of change, teamwork, availability of resources, focus, and training on the desired medical and financial outcomes. The paper also discusses the lications of the study for decision-makers.

Reforms, Restructuring, and Infrastructure Sector: A Study of Initiatives in Orissa Power Sector:

Abstract: In 1994, the Government of Orissa initiated power sector reforms and restructuring. The reform programme resulted in vertical unbundling of the state-owned integrated electric utility, corporatizat...

Fiscal Federalism and Competitive Bidding

Abstract: We model competitive bidding by states (in a federal structure) to attract investments. This process involves a stage game rather than a single-stage prisoner's dilemma or repeated game. The offering of competitive subsidies involves a cost. The benefit consists of: i) The welfare enhancement of the state's citizens through additional jobs, ii) the creation of reputational effects for policy makers because of the creation of a favorable business climate. We propose some general theorems for solving an n-stage game. Policymakers are free to decide the timing and magnitude of the bids. The political economy of such bidding is clarified.

The Robustness of Abnormal Returns from the Earnings Yield Contrarian Investment Strategy

Abstract: We examine the sensitivity of the abnormal profitability of the earnings' yield (E/P)-based contrarian investment strategy to the following two risk measurement issues: (1) return measurement interval over which systematic risk is estimated and (2) time variation in systematic risk. We conduct our analysis using the capital asset pricing model to parameterize risk. We find that the estimates of systematic risk of E/P-ranked portfolios are not sensitive to the return measurement interval, and consequently the abnormal profits to the E/P-based contrarian investment strategy observed in prior studies are not artifacts of the return measurement interval. Further, although both the raw and abnormal returns to E/P-ranked portfolios exhibit mean reversion, time variation in systematic risk ensuing from this mean reverting behavior does not substantially effect abnormal profits to E/P-ranked portfolios.

On the differing pattern of corporate diversification across economies

Abstract: Conglomerates, that is, firms which have diversified into industries having little in common in terms of markets, technologies, or skills, occupy only a relatively minor position among large firms in the U.S., but they dominate many other economies, particularly the developing ones in Asia. This paper describes a model which helps explain this difference in the observed pattern of corporate diversification across economies.