Knowledge that Transforms

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An abstract is not available for this content so a preview has been provided. As you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

An abstract is not available for this content so a preview has been provided. As you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

An abstract is not available for this content so a preview has been provided. As you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

It has been suggested by many [1, 2, 5, 6, 7, 10 and more] and denied by few that, ceteris paribus, a well-informed risk-averse investor should prefer investments which have positively skewed distributions of rates of return. Passing over the models which underlie such assertions, the question is addressed empirically here. Do (as opposed to “should”) investors prefer investments that are positively skewed, ceteris paribus?

An abstract is not available for this content so a preview has been provided. As you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

The purpose of this paper is to examine the intertemporal relationship between variations in the prices of individual common stocks and variations in the rest of the stock market. Empirical data are analyzed to determine the frequency with which stock prices precede, occur simultaneously, and follow movements in the market average.

A method for optimization in nonlinear stochastic models is proposed in this paper, and applied to study monetary and fiscal policy in the St. Louis econometric model. Essentially, the method is to simulate the model in a number of stochastic simulations in which the coefficients of the model are treated as random, to use the results of the stochastic simulations to find parsimonious representations of the time form of the policy multipliers by estimating autoregressive moving-average regressions for the effects of policy on the relevant endogenous variables, and then to use these equations in computing optimal policy. The method is applied to the study of monetary and fiscal policy for the St. Louis model over a 60-period horizon with encouraging and sensible results.