We examine the impact of R&D intensity and agency costs on the value of firms across 13 economies. We find that R&D adds value while high agency costs reduce value. R&D adds value, however, even when agency costs are high. We show that in those firms where agency costs are high and R&D intensity...

We define a segregation ordering as a ranking of cities from most segregated to least segregated. \ We propose a set of basic properties that any reasonable segregation ordering should have. \ We then fully characterize the class of segregation orderings that satisfy these basic properties. \ We...

We compare auction revenues from discriminatory auctions and uniform price auctions in the case of the Korean treasury bonds auction market. For this purpose, we employ detailed bidder level data for each of 16 discriminatory auctions recently carried out in Korea. We first theoretically recover...

The measurement of income inequality plays a pivotal role in the assessment of economic welfare and the design and implementation of social policies. A primary input of such measurement is data provided by household surveys. It is a well-documented fact that in these surveys some variables are...

The new monetary policy implemented in Uruguay in July 2002, rests on the existence of a stable relationship between the intermediate monetary aggregate and the price level, particularly during rough times, such as financial crises (1982-83; 2001-02). This paper analyzes the stability of...

We extend the standard specification of the market price of risk for affine yield models of the term structure of interest rates, and estimate several models using the extended specification. For most models, the extended specification fits US data better than standard specifications, often with...

Evaluation of forecast optimality in economics and finance has almost exclusively been conducted under the assumption of mean squared error loss. Under this loss function optimal forecasts should be unbiased and forecast errors should be serially uncorrelated at the single period horizon with...

In this paper we investigate portfolio coskewness using a quadratic market model as return generating process. It is shown that portfolios of small (large) firms have negative (positive) coskewness with market. An asset pricing model including coskewness is tested through the restrictions it...

A leading explanation of aggregate stock market behavior suggests that assets are priced as if there were a representative investor whose utility is a power function of the difference between aggregate consumption and a "habit" level, where the habit is some function of lagged and (possibly)...

Under the squared error loss, the optimal forecast is the conditional mean, and the one-step forecast error is a martingale difference (MD). The one-step forecast error forms the conditional moment condition obtained from the loss derivative with respect to the forecast. Similarly, under a...