S-L have derived a simultaneous equation CAPM to offer a robust test for the interdependent assumption of the single equation CAPM. However, their empirical results are subject to the multicollinearity problem associated with 2SLS. For improving their results, several alternative estimation methods are used to estimate a seven-equation system for the oil industry. In accordance with both the multicollinearity criterion and residual analysis, it is found the modified 2SLS is the most appropriate method to be used to estimate the S-L model. From the results obtained from the modified 2SLS, it is shown that the market rate of return still is a relatively important factor in predicting the movement of capital market in the simultaneous equation CAPM. After applying a better estimation method to the S-L simultaneous equation CAPM, it is shown that the S-L model has given us the interesting interrelationship of capital asset pricing within a particular risk class.

A portfolio frontier superior to the Markowitz one-period buy-and hold efficient frontier does exist. Such a superior frontier can be generated by pursuing a rebalancing policy, even under the conditions of random walk. By rebalancing we mean that an investor maintains a fixed but optimal set of weights among the securities in a portfolio throughout an investment period by buying and selling securities at the end of some predetermined intervals.

D UE to Sharpe (1964), Lintner (1965) and Mossin (1966), the Capital Asset Pricing Model (CAPM) has been employed to estimate systematic and performance measure and to predict the risk-return relationship. The predictive ability of this model has been examined by Friend and Blume (FB) (1973), Black, and Scholes (BJS) (1972) and Blume and Friend (BF) (1970). They have concluded that the empirical results obtained from the CAPM are significantly different from the ex ante expectation of this model. The effects of investment horizon on the estimate of the systematic were first investigated by (1969). Based upon the instantaneous systematic concept, he concluded that the logarithmic linear form of the CAPM can be used to eliminate the effects of time horizon on the estimated systematic risk; in other words, the basic specification for the CAPM is a Cobb-Douglas type functional form. Levy (1972) has shown that the assumption of a holding period that is different from the true investment horizon will lead to systematic bias of the performance measure index. Recently, Cheng and Deets (CD) (1973) have shown that the logarithmic linear form of the CAPM not only implies a linear relationship but produces an instantaneous risk, dependent upon the length of observed horizon.' In addition, they proposed a new instantaneous systematic entitled the Cheng-Deets instantaneous systematic risk to substitute for the Jensen instantaneous Neither nor CD has ever investigated the effects of finite investment horizon when market equilibrium is not instantaneous. The main purposes of this paper are to derive two alternative functional forms for the CAPM, which will explicitly include the investment horizon parameter, to improve the explanatory power of the CAPM, and to reduce the bias of the estimated systematic risk. In the second section the risk-return relationship is reexamined under the assumptions that true investment horizon is either observable or not observable. In the third section both likelihood ratio and constant elasticity of substitution (CES) function methods are proposed to derive a testable generalized CAPM in accordance with the assumption that all investors have identical investment horizons.2 In the fourth section models derived in the third section are related to Merton's (1970, 1973) continuous time models and Fama and Macbeth's (1973, 1974) empirical work, which supports the linearity of CAPM. In the fifth section, a set of sample data from the New York Stock Exchange (NYSE) during 19671972 will be employed to estimate the related parameters of the nonlinear CAPM being derived in this paper. In addition, the results obtained from nonlinear CAPM will be compared with those obtained from the linear CAPM. Finally, in the last section, the results of this paper will be summarized.

Tp wo forces, relatively unimportant several decades ago, have influenced the destiny of the consumer dollar in the years following the Second World War. The first of those forces is the growth of installment and mortgage credit relative to disposable income, and the second is the growth of contractual savings relative to the total amount of personal saving. It is argued in this paper that these two forces, even though stabilizing contractual savings and payments, have altered the pattern of nondurable goods consumption in certain undesirable ways. Since the end of World War II, the phenomenal rise in installment and mortgage credit and its possible de-stabilizing effect on the economy has been a subject of much discussion among economists. But in this paper, our attention is mainly directed to the neglected aspect of how durable goods financing has affected, surreptitiously, the consumption expenditures for nondurable goods and services and how the change may adversely affect the stability of the economy. The change is measured in this paper by comparing two periods the most recent decade, that is, the fifties, and the twenties, a decade selected for statistical convenience as well as for cyclical comparability. The relative importance of these two forces in the two periods and appropriate analytical framework are presented in Section I; the results of empirical investigations and tests are summarized in Section II; and policy implications are examined in Section III.

IN the August I947 issue of this REVIEW, Mr. Willard W. Cochrane, presenting a summary of his study about family budgets among Corn Belt farmers in the United States,' concluded that two different forces emanate from the income-outlay behavior of farm families: an explosive force associated with expenditures for capital and a stabilizing force associated with expenditures for family living.2 The character of farmers' expenditures as a whole, however, was not ascertained. Furthermore, the procedure seems doubtful.

Abstract In this paper, I conduct three experiments to investigate whether and how relative performance information (RPI) influences employee advice‐seeking and how advice‐seeking, in turn, affects employees' trust in their manager. The first experiment shows that, in a setting where the manager can provide useful advice, RPI increases advice‐seeking frequency, which is marginally positively associated with trust in the manager. The second experiment indicates that RPI increases advice‐seeking frequency when the manager's advice is highly useful, with a marginally significant effect when the advice is of low usefulness. Mediation analyses reveal that RPI alleviates employees' concerns about self‐presentation toward their manager, thereby increasing advice‐seeking frequency, but only when the manager's advice is of high usefulness. The third experiment shows that advice usefulness impacts employees' trust in their manager by influencing their perceptions of managerial competence and benevolence. This paper discusses theoretical and practical implications of these findings.

Abstract. This article presents an explanation of the reasons that managers might elect to change accounting methods. Facing adversity with a nontrivial probability of technical default on the debt covenants, the manager is motivated to effect an income‐increasing accounting change to circumvent a technical default. Under rational expectations, if investors do not have any prior information about the firm's adversity, the market reaction on an accounting change announcement is predicted to be negative. We postulate that the market impact on the date of change announcement is negatively correlated with the amount of information the investors may have. A sample of 77 firms was selected to test the economic arguments. Investors' reaction to the accounting change was tested by abnormal returns on dates of announcement. Cross‐sectional tests associate the investors' reaction with their prior information about the financial status of the sample firms. On the date of the change announcement, the sample firms did not experience a statistically significant negative market reaction. However, in a cross‐sectional analysis, the market impact parameter was found to be significantly correlated in a negative manner with the prior information proxy variable.

Abstract. Résumé. Les auteurs proposent une explication des motifs pour lesquels les gestionnaires peuvent opter pour la modification des méthodes comptables. En situation difficile et devant la probabilité sérieuse d'un manquement technique aux clauses restrictives que comportent les contrats d'emprunt de l'entreprise, le gestionnaire est enclin à procéder à des modifications entraînant la hausse des bénéfices dans le but d'esquiver l'éventuel manquement. En posant l'hypothèse de prévisions rationnelles, si les investisseurs ne détiennent aucune information préalable au sujet des difficultés qu'éprouve l'entreprise, la réaction prévisible du marché à l'annonce d'une modification comptable sera négative. Nous postulons que la réaction du marché à cette décision à la date de l'annonce de la modification est en corrélation négative avec le volume d'information que peuvent détenir les investisseurs. Ils auteurs ont sélectionné un échantillon de 77 entreprises dans le but de vérifier leur raisonnement économique. Ds se servent des rendements anormaux constatés à la date de l'annonce pour tester la réaction des investisseurs à la modification comptable. Des tests transversaux associent la réaction des investisseurs à l'information qu'ils détenaient au préalable au sujet de la situation financière des entreprises de l'échantillon. À la date de l'annonce des modifications, les entreprises échantillonnées n'ont pas enregistré de réaction négative du marché qui soit statistiquement significative. Une analyse transversale permet cependant de conclure que le paramètre de la réaction du marché est en corrélation négative significative avec la variable substitutive de l'information préalable.

Abstract VIX futures prices rose slowly in late February and early March 2020 as the COVID-19 pandemic took hold. Futures price premiums, defined as futures prices minus real-time statistical forecasts of future VIX values, turned sharply negative and remained negative until mid-April. Trading strategies based on estimated premiums profited from the subsequent increase in market volatility and equity market crash. The underreaction of futures prices to growing pandemic risks poses a puzzle for standard asset pricing models. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

[Optimal trade and industrial policies are derived for a home market that is supplied by a domestic firm and a foreign firm. The optimal policy combination can be quite sensitive to the nature of the duopoly's competition. For example, for some cost and demand structures, the optimal policy under Cournot competition consists of a domestic production tax and a tariff, but that under Bertrand competition consists of a production subsidy and free trade.]