This paper shows that the gender and age of the wage-setter are crucial determinants of the disparity in wages between sexes. We document our findings using a dataset on compensation of corporate officers that is uniquely suited for this analysis because officer wages are set by chief executive officers. We show that CEOs pay officers of the opposing gender less than officers of their own gende...

This paper presents results from an experimental computer simulated stock market. In this market artificial intelligence algorithms take on the role of traders. They make predictions about the future, and buy and sell stock as indicated by their expectations of future risk and return. Prices are set endogenously to clear the market. Time series from this market are analyzed from the standpoint ...

This paper compares the forecasting performance of the conditional autoregressive range (CARR) model with the commonly adopted GARCH model. We examine two major stock indices, FTSE 100 and Nikkei 225, by using the daily range data and the daily close price data over the period 1990 to 2000. Our results suggest that improvements of the overall estimation are achieved when the CARR models are use...

The term structure of credit default swap (CDS) spreads contains useful information about the firm’s fundamentals. Companies with a high CDS slope tend to experience increases in default risk, negative earning surprises and lower profitability in the future. Such information gets incorporated only gradually into stock prices. Firms in the lowest decile of CDS slope outperform the highest decile...

This study investigates the day of the week effect on the volatility of major stock market indexes for the period of 1988 through 2002. Using a conditional variance framework, we find that the day of the week effect is present in both return and volatility equations. The highest volatility occurs on Mondays for Germany and Japan, on Fridays for Canada and the United States, and on Thursdays for...

The Czech Republic, Hungary and Poland followed different strategies in the use of nonstandard methods of privatization. In regard to resrirurion, the Czech Republic carried out physical return of property, Hungary weakly implemented financial compensation and Poland has not yet approved a programme. Management and employee buyouts were eschewed in the Czech Republic, took the form of employee ...

Several empirical studies have documented that the signs of excess stock returns are, to some extent, predictable. In this paper, we consider the predictive ability of the binary dependent dynamic probit model in predicting the direction of monthly excess stock returns. The recession forecast obtained from the model for a binary recession indicator appears to be the most useful predictive varia...

Mergers and acquisitions (M&As) are major events, reshaping competition among related firms (traditionally called rivals). Despite their seeming importance, most M&A studies have found only a limited empirical impact on rival stock prices. Our paper revisits this issue using a novel approach to characterize the degree of interactions among related firms based on their stock return correlations ...

Emerging markets exhibit (1) high expected returns to capital and (2) large exposures to movements in US returns, measured by the ‘beta’ of the returns to the asset on the returns to its US counterpart. We document these facts in detail for two asset classes stock market returns and the return to aggregate capital and we provide further evidence from a third class sovereign bonds. We use a seri...

We present a new method to measure the intraday relationship between movements of implied volatility smiles and stock index returns. It exploits a specific characteristic of the smile profile in high-frequency data. Using transaction data for EuroStoxx 50 options from 2000 to 2011 and DAX options from 1995 to 2011 (14 million transactions), we find that the intraday evolution of volatility smil...