This paper analyzes dual trading on futures contracts restricted by Chicago Mercantile Exchange Rule 552. Using floor trader data, several categories of traders are identified, and differences in strategies and profitability are examined. When unrestricted, dual traders execute most customer orders and few personal trades. The evidence supports the hypothesis that dual traders are superior brokers. However, there is no evidence of informational advantages in dual traders' personal trading. Dual traders are shown to provide liquidity with their personal trades. Finally, Rule 552 does not appear to have increased trading costs.Journal of Economic LiteratureClassification Numbers: G12, G13, D82.

We use data from the Canadian 2-year longitudinal Labour Market Activity Survey of 1986-87 to estimate the effect of the Unemployment Insurance (UI) system on job duration. Particular attention is focused on the "entrance requirements" of the UI system, which relate eligibility for UI benefits to an individual's recent employment history. The article makes operational the UI entrance requirement provisions which take into account variations in the regional unemployment rate. Controlling for many personal and job characteristics, we find evidence that a significant number of jobs terminate when they have reached the duration that would permit a UI claim.

The Pure Expectations Hypothesis (PEH) serves as the benchmark model for the relationship between yields on bonds of different maturities. When coupled with rational expectations, however, empirical renderings of the model fail miserably. I explore the possibility that failure to account for changes in monetary policy regime explains much of the failure of the PEH. Estimating changing monetary regimes in conjunction with the PEH significantly improves its performance. The predicted spread between the long and short rates is highly correlated with the actual spread. The standard deviation of the theoretical spread is nearly identical to that of the actual spread.

A major issue in the analysis of unemployment durations concerns distinguishing genuine duration dependence of the exit rate out of unemployment from unobserved heterogeneity. We present a method for the nonparametric estimation of both phenomena, designed to be applicable to time-series data on aggregate outflows from different duration classes. The model explicitly takes into account that individual exit rates are affected by the business cycle and by seasonal effects. The method is applied to U.S. data. We find diverging duration effects among black and white individuals. However, except for white males, duration dependence is dominated by unobserved heterogeneity.

C. Bryan Cloyd, Jamie Pratt, Toby Stock, The Use of Financial Accounting Choice to Support Aggressive Tax Positions: Public and Private Firms, Journal of Accounting Research, Vol. 34, No. 1 (Spring, 1996), pp. 23-43

The analysis of economic phenomena at the wholistic (aggregative) level 11l8intains a long tradition that assumes the neoclassical production function Q-f(K,L) (i.e., output as a function of capital and labor) satisfies the condition of constant returns to scale.The assumed absence of any (dis-)economies of scale renders the production function useless, when the scale effect is as pronounced as is typically found at the less aggregative levels of individual firm or industry analvsis.. .The purpose of this paper is to deduce new classes of production functions that are not limited to the constant returns to scale characteristic.Hore specifically, the scale effect is described by an arbitrary function of one of the factors of production, capital in this paper.This class of production functions exhibi-ts scale sensitivity with respect to capital (SSWK).The paper shows how different fmidlies of production functions can be derived from two basic .. building blocks," a :wage share function and a scale functitm.The Cobb-])ouglas, CES and VES production fmu:tions are special cases.~e Cobb-Douglas and CES functions can be expanded to incorporate non-constant returns to scale.A smnple of firms from Taiwan is used to test among various derived functional specifications.An interesting diversity of preferred specifications was found among three industries.

This study examines the association between stock returns and foreign GAAP earnings versus earnings adjusted to U.S. GAAP. Using a sample of foreign firms with common stock or American Depositary Receipt (ADR) traded in U.S. exchanges, we compare the returns-earnings relations between U.S. and foreign GAAP-based earnings. Results based on the JA test indicate that earnings based on foreign GAAP are more closely associated with contemporaneous stock returns than earnings reconciled to U.S. GAAP. We find evidence that our results may be driven by institutional factors which are specific to foreign markets.

We examine aftermarket transactions for closed-end fund IPOs and document large sell-to-buy imbalances (“flipping”), extensive price stabilization, and sharp subsequent price drops. The timing of the price drop is related to both the amount of initial flipping, and use of the over-allotment options. The extent of the flipping activity is related to the composition of the syndicate. Moreover, aftermarket buys (sells) are mainly small (large) trades. These findings suggest that lead underwriters price stabilize and manage the supply of shares in the aftermarket, and that closed-end fund IPOs are marketed to a poorly informed public.

We use futures transaction data to investigate cross-sectional relationships between market-maker inventory positions and trade activity. The investigation documents strongly that traders control inventory throughout the trading day. Despite this evidence of inventory management, typical inventory control models are contradicted by our data. These inventory models predict that market-maker reservation prices are negatively influenced by inventory. Surprisingly, our evidence shows, as a strong and consistent empirical regularity, that correlations between inventory and reservation prices are positive. We interpret the evidence as consistent with active position taking by futures market floor traders.