Richard A. Shick, James S. Trieschmann, Some Further Evidence on the Performance of Property-Liability Insurance Companies' Stock Portfolios, The Journal of Financial and Quantitative Analysis, Vol. 13, No. 1 (Mar., 1978), pp. 157-166

Of the behavioral recommendations garnered from modern capital market theory, few, if any, generalizations have been documented as convincingly as the simple advice to hold several assets in one's portfolio. Sharpe made such a conclusion perfectly clear when he stated [27, p. 184]:If the market is efficient and if an investor is privy to no special information or predictive power, what should he do? First, and most important: diversify.

[The paper explores some of the issues involved in constructing measures of mobility when the data are provided in the form of a transition matrix. An initial set of axioms is proposed which is inconsistent. They can, however, be reconciled if empirically unlikely transition matrices are eliminated from consideration. The paper then discusses the problem of comparing matrices not defined over the same interval. An index based on the convergence speed in a Markvov chain process is able to compensate for differing time periods.]

Using the result that under the null hypothesis of no misspecification an asymptotically efficient estimator must have zero asymptotic covariance with its difference from a consistent but asymptotically inefficient estimator, specification tests are devised for a number of model specifications in econometrics. Local power is calculated for small departures from the null hypothesis. An instrumental variable test as well as tests for a time series cross section model and the simultaneous equation model are presented. An empirical model provides evidence that unobserved individual factors are present which are not orthogonal to the included right-hand-side variable in a common econometric specification of an individual wage equation.

[We study the time consistency of optimal monetary policy in a framework akin to the one in [12, Ch. 1] but we assume away lump sum taxation--all taxes are distortionary. Our major result is that under perfect foresight (as defined in [8, 23]) optimal monetary policy is bound to be time inconsistent. The paper is closely related to the previous works of Auernheimer [2], and Kydland and Prescott [15].]

as regards the relative strengths of the coefficients of the exporting versus importing countries. The results of equation (2), while interesting, may be weak because of the crude nature of the restriction data and the possible inappropriate grouping of the restriction data according to mode of operation.7 Equation (1) is quite credible in the sense that a count of the existence of up to 12 possible restrictive practices could give an indication of a country's tendency to contract its traded goods sector by various policy measures. However, it is not surprising that an attempt to disaggregate this type of data into three separate variables in equation (2) was less successful. The regression results indicate that country practices restricting exchange rates, trade, and payments do affect trade flows among OECD countries. The fact that relatively significant results were obtained with very crude data suggests that bilateral trade flow models should include variables measuring these practices. Perhaps future reas regards the relative strengths of the coefficients of the exporting versus importing countries. The results searchers will attempt to create better quantitative measures of these types of restriction practices.

Journal Article The Horizontal Integration of the Banking Firm, Credit Rationing and Monetary Policy Get access Alex Cukierman Alex Cukierman Tel Aviv University Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 45, Issue 1, February 1978, Pages 165–178, https://doi.org/10.2307/2297092 Published: 01 February 1978