The mean return for stocks is positive only for days immediately before and during the first half of calendar months, and indistinguishable from zero for days during the last half of the month. This ‘monthly effect’ is independent of other known calendar anomalies such as the January effect documented by others and appears to be caused by a shift in the mean of the distribution of returns from days in the first half of the month relative to days in the last half.

A generalization of the multinomial logit (MNL) model is developed for cases in which discrete alternatives are ordered so as to induce stochastic correlation among alternatives in close proximity. The model belongs to the Generalized Extreme Value class introduced by McFadden, and is therefore consistent with random utility maximization. If the true model is nearly MNL, iterative estimation on an ordinary MNL computer package provides approximate parameter estimates and a test for the hypothesized failure of the MNL'S "independence from irrelevant alternatives" assumption. A straightforward extension can handle cases where observations have been selected on the basis of a truncated choice set. The model's properties are investigated through a numerical example, and through two empirical applications whose rather unsatisfactory results are very briefly described.

The author uses an equilibrium model of job matchings with a Nash wage equation to derive the response of wages and unemployment to productivity shock. By endogenizing labor's threat point, he shows that wages absorb fully permanent shocks but only partially temporary shocks. Hence, unemployment responds to perceived temporary shocks but not to permanent shocks. Copyright 1987 by The Review of Economic Studies Limited.

Increasing returns to scale (RTS) is frequently pos- tulated as affecting productivity in surface coal mining. How- ever, it is not clear whether increased capital intensity or increased output is the relevant phenomenon. A ray-homo- thetic production function that incorporates the capital-labor mix and fixed site geology into the scale elasticity is presented and estimated with a micro (mine level) dataset. The results indicate that higher capital intensity contributes to higher RTS for some types of capital equipment, but not all. On the average increasing RTS was found, with few mines approach- ing optimal scale. T HE literature of coal mining productivity contains many references to returns to scale as a factor in strip mining productivity.' However, different analysts use different definitions of scale,' and consequently their results are mixed. Some analysts associate returns to scale with larger pieces of capital equipment; 2 others use the more traditional economic notion of output volume and the scale elasticity;3 others simply relate output volume to labor productivity.4 It may be true that developments in large pieces of earth-moving equipment have been implemented at surface mines with large output volume, but this does not necessarily imply increasing returns to this par- ticular capital input. This confusion in the mining literature in the use of the term scale, coupled with the more general observation that large firms (not just large mines) rarely have the same capital-labor mix as their smaller counterparts, leads to a hypothesis that a different capital-labor mix yields different economies of scale. The application of ray-homothetic production functions leads to an easily testable hypothesis on the impact of input mix to economies of scale. Additionally, these functions are more general than their homothetic namesakes. Fare (1975) has shown that they do not generate linear expansion paths. convex isoquants, or exhibit strong dispos- ability of inputs. The properties of convexity and strong disposability are necessary for a dual, cost function analysis of the production structure. If the true underlying production function is ray- homothetic, the dual approach is inappropriate, therefore these functions are a desirable tool for productivity analysis in general and in particular when input mix is believed to be an important

This paper studies the impact that margin requirements have on both the existence of arbitrage opportunities and the valuation of call options. In the context of the Black-Scholes economy, margin restrictions are shown to exclude continuous-trading arbitrage opportunities and, with two additional hypotheses, still to allow the Black-Scholes call model to apply. The Black-Scholes economy consists of a continuously traded stock with a price process that follows a geometric Brownian motion and a continuously traded bond with a price process that is deterministic.

This paper generalizes the Global Correspondence Principle by extending, in two major ways, Paul Samuelson's 1971 analysis of the exchange rate response to an international purchasing-power transfer. We analyze the price effect of a shift in any parameter, not necessarily a transfer. We then explore the resulting adjustments in any nonprice variable such as welfare. As our analysis shows, the direction of these adjustments depends neither on whether they are small or large nor on whether equilibrium is locally stable or unstable.