Showing papers on "Stock (geology) published in 1979"

Comovements in Stock Prices in the Very Short Run

Abstract: Correlations among price changes in common stocks of companies in one industry are found to decrease with the length of the interval for which the price changes are measured. This phenomenon seems to be caused by nonstationarity of security price changes and by the existence of correlations between price changes in the same stock—and in different stocks—in successive periods. Although such correlations are not necessarily inconsistent with market efficiency, the data do reveal the presence of lags of an hour or more in the adjustment of stock prices to information relevant to the industry.

Liquidity Changes Following Stock Splits

Abstract: THERE HAS BEEN CONSIDERABLE empirical research on the return behavior of common stocks in calendar intervals surrounding stock splits. A partial list includes work by Barker [2]; Johnson [25]; Hausman, West and Largay [21]; Fama, Fisher, Jensen, and Roll [16]; and Bar-Yosef and Brown [1]. However, little or no evidence has been collected about stockholder trading behavior in split-up securities. This is surprising because it is often alleged that stocks split because they provide "better" markets for trading. This study presents evidence about the liquidity effects of stock splits. There are numerous rationales for stock splits, and many are related to the liquidity of trading. For example, one often hears on Wall Street that there is an "optimal" price range for securities. Stocks which trade in this range are presumed to have lower brokerage fees as a percent of value traded and therefore appear to be more liquid. This "optimal" range is considered to be a compromise between the desires of wealthy investors and institutions who will minimize brokerage costs if securities are high-priced, and the desires of small investors who will minimize odd-lot brokerage costs if securities are low-priced. Implicitly, there is a trade-off between diversification benefits and the lower transactions costs of round-lot trading.' One difficulty with the argument is that small investors can economize on odd-lots by forming investment clubs or by buying no-load mutual funds. A second difficulty is that odd-lot trades are simply not a significant fraction of trading activity. Finally, if the price of a security becomes "too high," the market obliges by making ten shares a round lot. Another explanation for splits, also heard on Wall Street, is that they create "wider" markets. Following a split, the number of shareholders may increase simply because an individual, who holds one round lot and who is likely to sell it to one buyer before a two-for-one split, may sell two round lots to two people after the split.2 If the number of shareholders increases after the split, then trading volume increases. Demsetz [11] shows that higher volume results in lower

The Rate of Obsolescence Of Knowledge, Research Gestation Lags, and the Private Rate of Return to Research Resources

Abstract: This paper points out the conceptual distinction between the rates of decay in the physical productivity of traditional capital goods and that of the appropriate revenues accruing to knowledge-producing activities, and notes that it is the latter parameter which is required in any study which constructs a stock of privately marketable knowledge. The rate of obsolescence of knowledge is estimated from a simple patent renewal and the estimates are found to be comparable to evidence provided by firms on the lifespan of the output of their R&D activities. These estimates, together with mean R&D gestation lags, are then used to correct previous estimates of the private excess rate of return to investment in research. We find that after the correction, the private excess rate of return to investment in research, at least in the early 1960's, was close to zero, which may explain why firms reduced the fraction of their resources allocated to research over the subsequent decade.

Optimal Depletion of an Uncertain Stock

Abstract: to take inventory of the resource wealth of the United States.' This paper characterizes optimal extraction from a resource stock of uncertain size and examines the value of information about the size of the stock assuming costs and social preferences are known. Section 2 describes a method for determining the optimal extraction programme when there are no opportunities for exploration or storage of the resource. The model is an extension of the " cake-eating " problem analysed by Koopmans (1973) under conditions of certainty. Given fairly typical assumptions, the optimal rate of extraction when the resource stock is uncertain is less than the optimal rate for the expected value of the stock. That is, uncertainty implies a more conservative extraction policy. Exploration provides information about the cost and location of resource deposits and improves estimates of the total size of the resource endowment. The former aspect of exploration is discussed in Gilbert (1976). By specifying the efficient extraction programme conditional on a particular information structure, the analysis in Section 2 sets the stage for determining the value of exploration information about the size of the stock. This is the subject of Section 3. Conditions are derived that are necessary for efficient investment in exploration information. In particular, we show that if storage costs are negligible or if the marginal value of the resource is unbounded, it is always optimal to invest in exploration in order to maintain a stock of known reserves.

Marketplace Fragmentation, Competition, and the Efficiency of the Stock Exchange

Abstract: on the volatility of daily returns for those stocks. Off-board trading potentially has two opposite effects. The first is a competitive effect. Greater off-board trading increases the number of marketplaces and dealers transacting the listed stocks. Increased competition from these marketplaces and dealers might stimulate the exchange to supply better or cheaper transactions. Specialists might narrow their bid-ask spreads (the prices of marketability) and trade more against price movements, damping daily stock returns fluctuations. The second is a fragmentation effect: off-board trading "fragments" the market for NYSE-listed stocks. A given group of stocks could be traded primarily on an exchange or in some other form of marketplace. If an exchange has lower prices of marketability and lower daily returns variance for those stocks than would other marketplace forms, the reason would be that the exchange centralizes transacting. Off-board trading reduces exchange trading volume, which would reduce exchange efficiency, if centralization has economies of scale. Prices of marketability might be greater. Daily stock returns might have a larger variance. The net effect of increasing off-board trading might, therefore, be to increase competition by reducing exchange efficiency. On the other hand, reducing fragmentation to protect marketplace efficiency might reduce competition. The Special Study [16] recognized that any assessment of the social value of multiple marketplaces requires an appraisal of the trade-off between the fragmentation and competitive effects.2 Recently, the potential trade-off between the competitive and fragmentation effects of off-board trading has affected the Congressional and the Securities and Exchange Commission (SEC) reorganization

The changing role of the individual investor

Abstract: Uses information obtained from federal income tax returns and mail and telephone surveys of stock-owning families to evaluate the effect on American equity markets of the shift of stock ownership from individuals to institutions. Presents new information on individual investors, their future plans, and the possible consequences of changes in government policy or economic environment. Suggests the most efficient ways to encourage individual stock ownership. Examines the pros and cons of numerous proposals and mechanisms for improving the securities markets, including new material on disclosure requirements, options, short sales, and index funds. Provides charts and tables to illustrate information on the individual as an investor.

Anticipations and the Nonneutrality of Money

Abstract: This paper examines the responses of the capital stock, output, and the price level to changes in the money stock in a neoclassical growth model in which money may not be neutral. The nonneutrality...

Frontiers in energy demand modeling

Abstract: principally be­ cause it helps inf orm market valuations of the stock of available policy models and suggests directions for future model development. To borrow the terminologies of capital theory and the theory of technological change, a body of policy models constitutes a capital stock of varying vintages, efficiencies, and stages of obsolescence. As new modeling techniques, para­ digms, and data bases are developed and exploited, they are added to the stock of models. The attendant stages of invention/innova tion, exploitation, and diffusion of modeling techniques are genealogically quite similar to those of an emerging technology. In the face of such capital accretion, model review permits a reflection upon the directions and value of past modeling development, its neutral or non-neutral biases, and the desirable induced direction of future model development. The major purposes of this paper reflect such motives. The paper first introduces and critiques an array of models that constitute the capital stock IThe author gratefully acknowledges the comments of David Wood, Drew Bottaro, and Gary Oleson. The research reftected in this paper was performed while at the MIT Energy Laboratory. zThe activity of critically reviewing a group of positive or normative models for the social or physical sciences can be a thankl ess task for several reasons. In the first place, the process of model review usually takes the approach of constructive criticism; as a result, while aimed at being constructive, the criticism is still criticism and can alfront those modelers whose models are being reviewed. In the second place, the review function perforce limits the group of models discussed to those felt to be most relevant to the particular purposes at hand; as a result the review can also affront those who feel certain crucial or seminal efforts have been excluded. In spite of such potential difficulties, the process is important.

Expectations, Tobin's q, and Industry Investment

Abstract: THE LITERATURE ON RATIONAL EXPECTATIONS (see [7]) has sensitized researchers to the need to model the expectations-forming mechanism of individuals free of systematic error. Expectations of future economic variables are particularly crucial to determining investment decisions where pay-offs extend far into the future. Such decisions are modelled in this paper, and some exploratory tests of the specification ultimately derived for changes in industry investment rates are provided at the end. This year's investment is generally started to implement plans formed last year about the desired stock of capital a firm wishes to have in place in future years.1 It often takes several years from the placement of orders for capital goods to the time where the last component is installed and the entire addition can be brought on stream.2 Thus, firms have to decide in year t what investments with various completion periods they have to start in year t + 1, so that the desired additions to capital stock taking one year to complete are available by the year t + 2, the desired additions taking two years to complete are ready by the year t + 3, and so forth.

Dynamic Adjustment and the Demand for International Reserves

Abstract: Although there have been a large number of empirical studies of the demand for international reserves, there have not been many successful demonstrations that deviations of the actual stock of reserves from the target level defined by the demand function trigger a process of adjustment. This paper presents new evidence which suggests that central banks do have a target level of international reserve holdings, and that the adjustment of actual reserves towards the target level is quite rapid. In addition, an economic theory of the speed of adjustment is presented and tested. The evidence suggests that central banks adjust more rapidly to reserve deficiencies than to surpluses, that the speed of adjustment is positively related to the divergence between the actual level of reserves and the target level, and that countries which hold abnormally large quantities of reserves do so, in part, in order to adjust more slowly. Finally, the paper examines the applicability of the model to the current regime of managed flexible exchange rates. The evidence suggests that the move towards greater exchange rate flexibility has not significantly altered the reserve holding behavior of the world's central banks.

Market Responses to Federal Reserve Changes in the Initial Margin Requirement

Abstract: IN RECENT YEARS THE finance field has devoted considerable attention to studying the response of security returns to various stimuli. A simple, but relevant way to dichotomize these "response" studies is to designate the stimuli as either firm specific or not. Among the former group have been studies investigating the response of stock returns to reported earnings, Joy, Litzenberger and McEnally [10] and to stock splits, Fama, Fisher, Jensen and Roll [6]. The other group of studies involves investigations related to more general phenomena. Among the more noteworthy of this group have been studies analyzing the response of stock returns to changes in the money supply, Rozeff [14] and to changes in the Federal Reserve discount rate, Waud [16]. Our study is of the latter kind. Specifically, we are interested in the stock market's response to changes in the initial margin requirement by the Federal Reserve. Our interest stems from several sources. First, there is the important finance question of market efficiency relative to the stimulus. While most response studies have reported results consistent with the semi-strong form of the efficient market hypothesis, some recent studies have challenged the hypothesis. Second, there is the question of whether the stimulus of concern provides information to market participants. That is, is the event an economic signal? Third, it is important to assess the impact that the Federal Reserve's intervention via margin changes has on security markets.

Spectral analysis of stock market prices

Abstract: The purpose of this article is to apply spectral analysis to six European Stock markets (Germany, France, Italy, The Netherlands, Belgium and the United Kingdom) and the New York Stock Exchange, over the period 1969–1976. For neither series do the estimates suggest deviations from randomness. However, a simple filter rule shows that substantial profits could have been made by a trader in the six European markets. This demonstrates that for testing market efficiency, spectral analysis is far from the best and the conclusion tends to support the hypothesis of ‘white-noise’ in imperfect markets. Cospectral analysis shows the lead and lag relations between the various stock markets under study.

Approximately Optimal Carryover Levels for Wheat in the United States

Abstract: This paper presents results of stochastic simulations of adherence to a first-period first-order certainty equivalence decision rule for approximately optimal wheat stocks in the United States. The decision rule is obtained by maximizing a first-order approximation of the discounted sum of expected producers' plus consumers' surplus less storage costs over a long-time horizon. For comparative purposes, stochastic simulations of the present system for holding stocks are also given in the paper. Stock levels under the present system were found to be higher than the certainty equivalence stock levels.

An empirical analysis of the interrelationships among equity markets under changing exchange rate systems

Abstract: The purpose of this article is to investigate the interrelationships between seven stock markets (Germany, France, Italy, the Netherlands, Belgium, the United Kingdom and U.S.A.) over the period 1969–1976. The impact of flexible exchange rates on the various correlation coefficients is shown to be rather low. The results show a trend towards higher segmentation between the various stock exchanges, which means larger opportunities for international diversification. Finally the relationships between stock index variations and exchange rate fluctuations are analyzed.

The Comovement of International Asset Returns

Abstract: Previous studies have analyzed the comovement of international stock returns during periods of fixed exchange rates[11, 15]. Results of these studies have indicated an increasing correlation between U.S. stocks and foreign stock returns. This paper explores the weekly comovement of international equity and long–term bond returns for nine industrialized countries—United Kingdom, United States, West Germany, Netherlands, Belgium, France, Switzerland, Italy, and Japan—during the period of floating exchange rates, 1973–1977. Results of this study indicate (1) a low correlations between U.S. and foreign stock and long-term bond returns; (2) The necessity for adjusting for exchange rate movement before analyzing relative between countries; and (3) the importance of percentage changes in money supply, prices levels, and real gross national products are in determining the unadjusted asset returns and exchange rate movement.

Cooperation and Productivity; Some evidence from West German Experience

Abstract: Somewhere between traditional entrepreneurial firms and worker-cooperatives on the spectrum of alternative firm types lie a range of industrial partnership models, involving varying degrees of worker participation in decision-making and/or profit-sharing. In West Germany there are known to be more than seven hundred firms in this category. Many belong to Arbeitsgemeinschaft zur Forderung der Partnerschaft in der Wirtschaft e.v. (AGP) headed by Michael Lezius. Guski and Schneider have recently published a register of these firms in collaboration with Lezius. Their analysis reveals a variety of legal configurations heavily influenced by tax and company law. The size of employee profit and stock shares also varies greatly, most being relatively small. About half the firms in the sample have instituted some form of employee participation in what is normally regarded as managerial decision making. The schemes introduced by AGP members range from employee control in a few worker-managed co-operatives among the many small firms to minimal consultative and informative practice in the more sparsely represented larger firms.

An evaluation of the application of stock licks in South Africa

Abstract: The supplementation of grazing for ruminants with mineral and rumen stimulating l icks has lately become a sophisticated practice in South Africa. The application of stock l icks gathered momentum ever since Theiler, in the early twenties, began to advocate the feeding of bonemeal to combat the incidence of botulism in cattle. Theiler's slogan of \"Bonemeal for beef' laid the foundation of a farming practice which in later years enabled South African livestock farmers to obtain maximum production from poor and inferior range land.

A Fitness Profile of Grand National Stock Car Drivers.

Abstract: Physiologic studies show that even the most successful stock car drivers aren't any more physically fit than the average person.

An analysis of the automobile market: modeling the long-run determinants of the demand for automobiles. volume ii - simulation analysis using the wharton efa automobile demand model

Abstract: An econometric model is developed which provides long-run policy analysis and forecasting of annual trends, for U.S. auto stock, new sales, and their composition by auto size-class. The concept of "desired" (equilibrium) stock is introduced. "Desired stock" and its composition by size-class are related to numerous economic and demographic variables using cross-section data. Among them is a new "capitalized cost per mile" measure, which expresses all costs over time relative to miles driven, discounted back to the present. New registrations, total and by class, and scrappage are found to be strongly related to "desired stock" relative to actual stock, with other influences operating as "speed of adjustment" factors. Fuel efficiency is analyzed in detail, relating mpg by class to physical vehicle characteristics and technological developments. Purchase prices and options expenditures are analyzed and all cost measures distinguished by foreign vs domestic origin as well as by size-class. Volume I summarizes and describes the study, and contains a forecast through 2000. Volume II contains extensive simulation analysis, with public policy implications. Volume III contains data and methodology appendices.

The monitoring of biological effects: the separation of natural changes from those induced by pollution.

Abstract: An added mortality rate of eggs, larvae and juveniles of fish populations, or impact, is assumed to be density independent. The total mortality from hatching to recruitment is represented by the fecundity, and any increment in density independent mortality implies a decrement in density dependent mortality. At high stock the consequence is an increase in stock towards a position of less resilience: at low stock less resilience is found with a decrease in stock. In general impact generates a shift of K-strategy, the self-stabilizing strategy, to r-strategy, an opportunistic one. In a fish population very little impact should be tolerated at low stock because it would prevent recovery to a management objective such as maximum sustainable yield. At high stock, impact may generate more stock at an unknown risk.

Why Simulations Are an Unreliable Test of Option Strategies

Abstract: * Since the start of listed options trading in 1973, computer simulations have become increasingly popular as a method for testing and comparing option strategies. Simulations can typically answer the question, "Given the actual history of security prices, what return on investment would a given options strategy have produced?" But they cannot reveal whether a specific option strategy is good, bad or indifferent. To do this, a test must maintain "stock equivalence" between the options strategies compared. The key to stock equivalence is the neutral hedge ratio the rate at which option prices change with changes in underlying stock prices. The neutral hedge ratio changes with changes in the ratio of striking price to market price, in the time remaining to expiration and in the volatility of the underlying stock. Such well known simulations as those of Kassouf and Merton, Scholes and Gladstein rely on test portfolios with fixed positions, neglecting the fact that the stock equivalence of those positions will vary over time. The sophisticated investor is less interested in the hypothetical return on investment from a particular option strategy than with its probable impact on the risk-reward structure of his current portfolio. The authors propose an index approach that is specifically designed to answer the latter question. It assesses option strategies by comparing actual and implied stock price volatilities. If the volatility implied by the option price as traded exceeds the stock's actual volatility, the price of the option has exceeded its value. >

An econometric study of the British monetary system

Abstract: This article aims to explain the British money stock and to shed general light on the British monetary system. The money stock does not depend strictly on popular preferences outside the banks and the authorities. Regulations do not permit the British banks to take an uncovered position in a foreign currency, and therefore to augment their domestic debt assets by borrowing abroad. As a result, these banks have no immediate control over their total domestic assets. Their basic policy variables are their interest rate on loans to private customers, and the rate of services that they provide on their deposits (...).

Capital Stock in UK Manufacturing Industry: Disaggregated Estimates 1947–76

Abstract: There has been considerable discussion particularly in the theoretical literature concerning the concept of the stock of capital, and, in particular, doubts have been expressed about the validity of attempts to measure capital. Nevertheless, much use is made in empirical work in various areas of estimates of capital stock in industry. The aim of the present paper is not to enter into the controversy but to present estimates of the stock of capital in UK manufacturing industries in more detail than has been available previously.

Evidence that the common stock market adjusts fully for expected inflation

Abstract: Inflation has become a major concern for financial managers in recent years because of its effects on company performance. For managers attempting to maximize company value an understanding of how stock prices respond to inflation is of utmost importance. Stock price may be viewed as the sum of cash flows to stockholders discounted at the required rate of return. Therefore, and understanding of how inflation affects cash flows and required return is necessary for the understanding of how stock prices react to inflation. Considerable attention has been given to the effects of inflation on cash flows to the stockholders.' Unfortunately, the same cannot be said about the response of required rate of return to inflation. Studies of the response of common stock returns to inflation may be classified into two types. The majority are those concerned with realized returns and whether common stocks are hedges against inflation, e.g., Ibbotson Sinquefield [11] and Reilly [26]. In general, they have shown that common stocks are not complete inflation hedges. The second type deals with required returns and whether they can be explained by the Fisher effect. Works of this type include Jaffee and Mandelker [12], Lintner [19, 20], Nelson [23] , and Oudet [24]. In contrast to studies of the bond market, these studies have failed to show the existence of the Fisher effect in the common stock market. This paper is concerned with the second type of problem. Fisher [8] posited that the ex ante return on an asset must fully reflect the ex ante inflation rate. In symbols: * R = r + I