The mathematical programming technique Data Envelopment Analysis is used to test the hypothesis of Averch and Johnson that utility regulation leads to overuse of capital. The regulated firm earns a return s greater than its cost of capital r, an implicit capital subsidy resulting in allocative inefficiency. Technical and Allocative inefficiency are based on Cost and Production Frontiers from 33...

In the past two decades, an increasing number of equity market anomalies have been reported in the literature, thus raising doubts about the applicability of the efficient market hypothesis and the capital asset pricing model. The Taiwan Stock Exchange Capitalization Weighted Stock Index Option (TXO) was introduced by the Taiwan Futures Exchange on December 24, 2001. Since the underlying asset ...

The need for innovation is frequently cited as a major reason for the emergence of network forms of organisation. However, little research has addressed the diverse roles played by networks and networking alike in processes of innovation. This paper draws on a historically grounded analysis of the development, diffusion and implementation of Computer Aided Production Management (CAPM) technolog...

Recent studies confront the problem of multiple error terms through summation. However this implicitly assumes prior knowledge of the problem's error surface. This study constructs a population of Pareto optimal Neural Network regression models to describe a market generation process in relation to the forecasting of its risk and return.

CAPM betas are widely used in practice. While they are estimated from historical data, they are generally applied to a future period. This is appropriate only if the betas are stable over time. However, there is widespread evidence that the CAPM betas vary considerably over time. This raises two questions: is the time-variation in the betas systematic and can systematic variation in the betas b...

Financial Econometrics is simply the application of econometric tools to financial data. For many years, least squares techniques provided satisfactory tools. Stock market forecasts, efficient market tests, and even tests of portfolio models such as the CAPM and APT were essentially implemented with least squares on cleverly manipulated data sets. More recently, however, the field has developed...

We use daily price indices obtained from the Morgan Stanley Capital International to construct realized volatility for 18 individual stock markets, including the US, and the world stock market. In contrast with the CAPM, we find that volatility by itself does not forecast excess returns in most countries; however, it becomes a significant predictor when combined with the US consumptionwealth ra...

INTRODUCTION* Following tradition, I deal here with the Capital Asset Pricing Model, a subject with which I have been associated for over 25 years, and which the Royal Swedish Academy of Sciences has cited in honoring me with the award of the Prize in Economic Sciences in Memory of Alfred Nobel. I first present the Capital Asset Pricing Model (hence, CAPM), incorporating not only my own contrib...

This paper proposes a dynamic risk-based model capable of jointly explaining the term structure of interest rates, returns on the aggregate market and the risk and return characteristics of value and growth stocks. Both the term structure of interest rates and returns on value and growth stocks convey information about how the representative investor values cash flows of different maturities. W...