February and August peaks in the growth rates of the seasonally unadjusted Industrial Production Index follow the stock market peaks documented by Rozeff and Kinney (1976) by one month. Coefficients on one-month lead growth rates in industrial production for small firms are positive and significant in time-series regressions even in the presence of the market factor. Moreover, whereas returns on large firms' stocks unidirectionally Granger cause (i.e., predict) future growth rates in industrial production at least six months in advance, returns on small firms' stocks reflect one-month lead as well as past growth rates in industrial production. For these reasons, we argue that seasonal real growth provides a partial explanation for the January stock seasonal among small firms.

This article documents an apparent pricing anomaly involving 94 percent, 30-year Treasury bonds during the months of May and June 1986. During this period, the price of the 94s rose sharply relative to the prices of other long-term Treasury bonds and created a potential arbitrage opportunity. In addition, owners of the 94 bonds were able to borrow at a zero interest rate bypledging their bonds. Detailed examination reveals that this relative pricing anomaly cannot be attributed to changes in the level or term structure of interest rates or to differences between the bonds with respect to liquidity, taxation, or duration.

[We derive and test a dynamic discrete-time model of asset returns. Both the risks of individual securities and equilibrium risk premia change predictably in the model, but these changes can be attributed to movements in the returns and prices of only two well-diversified portfolios. Any other components of returns should be unpredictable. Using the generalized method of moments, the model is estimated and tested on portfolios of equities. We find the data supportive of the model's restrictions, even when instruments designed to capture the January effect are employed.]

[This article documents an apparent pricing anomaly involving 91/4 percent, 30-year Treasury bonds during the months of May and June 1986. During this period, the price of the 91/4s rose sharply relative to the prices of other long-term Treasury bonds and created a potential arbitrage opportunity. In addition, owners of the 91/4 bonds were able to borrow at a zero interest rate by pledging their bonds. Detailed examination reveals that this relative pricing anomaly cannot be attributed to changes in the level or term structure of interest rates or to differences between the bonds with respect to liquidity, taxation, or duration.]

Partnerships, Tax incentives, Investment decisions, Transaction costs

Rosa Barbolla, Luis C. Corchón; An Elementary Proof of the Existence of a Competitive Equilibrium in a Special Case*, The Quarterly Journal of Economics, V

Abstract. This paper describes and analyzes four attribute dimensions that have impacted contemporary accounting literature (CAL) between 1976 and 1984, and develops a model that predicts attribute levels in 1985 and 1986. The attribute dimensions studied are: accounting area, research method, school of thought, and geographical focus. Publication counts and citation analyses are performed on a data set of 1,110 accounting articles. The results suggest that linear trends exist over time in the publication and citation measures of selected attributes of accounting papers; that new or emerging attribute areas are more likely to be influential than are papers published in established areas; and that it is easier to predict the relative influence of publications that will exhibit certain attributes than it is to predict the number of papers that will be published with these attributes. Résumé. Les auteurs décrivent et analysent quatre aspects de préoccupation qui ont eu des répercussions sur les publications contemporaines en comptabilité entre 1976 et 1984 et créent un modèle permettant de prévoir les niveaux de préoccupation des années 1985 et 1986. Les aspects de préoccupation faisant l'objet de l'étude sont les suivants: le domaine comptable, les méthodes de recherche, les écoles de pensée et l'optique géographique. Les auteurs precèdent au dénombrement des publications et à l'analyse des citations sur un corpus de 1110 articles comptables. Les résultats donnent à penser qu'il existe des tendances linéaires, dans le temps, dans les mesures des publications et des citations relatives à des préoccupations choisies dans les articles comptables; que les publications dans des domaines de préoccupation nouveaux ou en émergence sont plus susceptibles d'influencer que ne le sont les publications dans des domaines établis; et qu'il est plus facile de prédire l' influence relative des publications portant sur certaines préoccupations qu'il ne l'est de prédire le nombre de documents qui seront publiés relativement à ces préoccupations.

The effect that voluntarily disclosed managers' earnings forecasts have on the security prices of the announcing firms and other firms in the same industry is examined. The results are consistent with information content in managers' forecasts and with information transfer between forecast firms and other firms in the industry. These inferences are drawn from firms' abnormal returns computed from single- and two-index pricing models - where the latter includes market and industry indexes. Interestingly, while a positive information transfer is evident with market model residuals, once industry cross-sectional covariation in firms' returns is removed, no directional relation is apparent.