The separate variance-ratio tests under homoscedasticity and heteroscedasticity both provide evidence rejecting the random walk hypothesis, using five pairs of weekly nominal exchange rate series over the period from August 7, 1974 to March 29, 1989. The rejections cast doubt on the random walk hypothesis in exchange rates, which has received support in the existing literature. Furthermore, since the rejections are robust to heteroscedasticity, they suggest autocorelations of weekly increments in the nominal exchange rate series, which may be consistent with the exchange rate overshooting or undershooting phenomenon.

The separate variance‐ratio tests under homoscedasticity and heteroscedasticity both provide evidence rejecting the random walk hypothesis, using five pairs of weekly nominal exchange rate series over the period from August 7, 1974 to March 29, 1989. The rejections cast doubt on the random walk hypothesis in exchange rates, which has received support in the existing literature. Furthermore, since the rejections are robust to heteroscedasticity, they suggest autocorelations of weekly increments in the nominal exchange rate series, which may be consistent with the exchange rate overshooting or undershooting phenomenon.

Many evaluation techniques typically measure performance as deviations of average returns on actively managed funds from those predicted by some asset pricing model. Empirical evidence, however, has so far suggested that all asset pricing models lack empirical support, implying that the models contain mis-specification errors to various degrees. Evaluating mutual fund performance relative to any of these models thus becomes problematic. In this paper, we propose an approach to performance measurement that emphasizes minimizing explicitly the pricing error associated with an asset pricing function which is employed to compute performance measures. This approach is henceforth called the minimum specification-error (MSE) method. We also discuss the statistical properties for implementing MSE performance measure. To demonstrate the significance of the pricing error confounded in evaluation measurement, we contrast our methodology with the Grinblatt and Titman (1989) period weighting approach and with the empirical implementation of Chen and Knez (1996). We find that the greater the pricing error of passive assets, the larger the performance measures. Given the average pricing error generated from a collection of 163 diverse passive portfolios used in this analysis the performance values assigned to a large number of the funds become statistically and economically insignificant.

The leading explanation for the positive price response surrounding tender offer share repurchase and specially designated dividend (SDD) announcements is the information signaling hypothesis. This paper reexamines these announcements to determine if Jensen's free cash‐flow theory also has explanatory power. Lang and Litzenberger's (1989) findings suggest an important role for the free cash‐flow theory in explaining the market's reaction to dividend changes. In contrast, we find the market's reaction to share repurchases and SDDs is approximately the same for both high‐Q and low‐Q firms. We thus have an empirical puzzle: If Jensen's free cash‐flow theory applies to dividend changes, it is difficult to see why it does not also apply to the analogous events examined here.

Keith M. Howe, Jia He, G. Wenchi Kao, One-Time Cash Flow Announcements and Free Cash-Flow Theory: Share Repurchases and Special Dividends, The Journal of Finance, Vol. 47, No. 5 (Dec., 1992), pp. 1963-1975

We find that about 25 percent of our sample of 171 Japanese multinationals' stock returns experienced economically significant positive exposure effects for the period January 1979 to December 1993. The extent to which a firm is exposed to exchange‐rate fluctuations can be explained by the level of its export ratio and by variables that are proxies for its hedging needs. Highly leveraged firms, or firms with low liquidity, tend to have smaller exposures. Foreign exposure is found to increase with firm size. We also find that keiretsu multinationals are more exposed to exchange‐rate risk than nonkeiretsu firms.

Gender gap can arise due to various factors—socio-economic, culture, risk attitudes, and macro-economic circumstances. Using a unique dataset that merges motor vehicle events with bankruptcy outcomes and personal data from Singapore, this study finds significant evidence of a gender gap in personal bankruptcy risk. We show that women’s odds of being involved in bankruptcy events are 28% of those of men after controlling for demographic variables, housing type, cultural and spatial fixed effects. Using motor vehicle accidents as an instrument, we confirm that the gender gap in bankruptcy risk is mainly driven by risk-taking behavior. The heterogeneity analyses show that culture also explains part of the difference. Chinese, Indian, and Malay women have differential bankruptcy rates in Singapore.

We use a large housing transaction data set in Singapore to study whether real estate agents use information advantages to buy houses at bargain prices. Agents bought their own houses at prices that are 2.54% lower than comparable houses bought by other buyers. Consistent with information asymmetries, agent buyers have more information advantages in less informative environments, and agent buyers are more likely to buy houses from agent sellers. Agent discounts are from both “cherry picking” and bargaining power, and bargaining power contributes more to the agent discounts. Agents’ advantage consists in their information of available houses and previous purchase prices.

This paper investigates the role of ethnic matching between buyers and sellers in Singapore’s public housing market. We find that sellers sell homes in blocks with a high concentration of their own (other) ethnic group(s) at significant premiums (discounts). Chinese sellers earn 1.7% higher premiums when selling homes to Chinese buyers in high Chinese concentrations housing blocks, but Malay sellers accept 1.6% discounts from Malay buyers in the same blocks. We find that the high volume of within-ethnicity transactions with the price discounts is supported by the ethnic social networks, that is, through ethnicity-specialized real estate agents. Received May 3, 2017; editorial decision July 4, 2018 by Editor Stijn Van Nieuwerburgh.