Research Lab

This paper examines Ricardian equivalence in a world in which taxes are not lump sum, but are levied on risky labor income. It shows that the marginal propensity to consume out of a tax cut, coupled with a future income tax increase, can be substantial under plausible assumptions. Indeed, the MPC out of a tax cut can be closer to the Keynesian value that ignores the future tax liabilities than to the Ricardian value that treats future taxes as if they were lump sum.

This paper analyzes the empirical behavior of stock-return volatilities prior to and subsequent to the ex-dates of stock splits. The evidence demonstrates rather unambiguously that there is, on the average, an approximately 30% "arbitrary" increase in the return standard deviations following the ex-date. The increase holds for both daily and weekly data, and it is not temporary. No explanatory confounding variables, such as institutional frictions affecting price observations, have been identified.

In this paper, insider trading is viewed as a signal of managements' assessments of firms' future prospects and its information content is compared to that in managements' earnings forecasts. These forecasts are explicit statements of managements' assessments of future prospects. A number of measures of insider trading designed to capture the information aspect of trading are investigated.

This paper relates New York City's experience since 1975, a period characterized by local economic and fiscal crisis and a gradual recovery from it, to four prevailing themes in the contemporary literature of cities and public administration.

This paper adds to recent evidence on market inefficiency in processing information in earnings reports. It documents that short positions taken in sample stocks which did not report earnings by the date expected during the sample period, 1971–1976, would have been abnormally profitable, before transaction costs. This is because late reports, on average, revealed bad news which was not anticipated in market prices prior to the report date.

This paper attempts to contribute to two rapidly growing branches in economic theory: asset pricing and “overlapping generations” models. The model is formulated and it is shown that equilibrium prices exist, and some of their properties are discussed. Then the model is applied to an asymmetric information environment to see if randomness in the number of informed agents could confuse the uninformed. Surprisingly, it could not.

In this paper we examine the effect of filing form 10-K on EDGAR on the incidence of small and large trades.

We establish sufficient conditions for the recoverability and uniqueness of utility functions (preferences) generating consumption and asset demands in a two-period setting under uncertainty.