We examine valuation effects of announcements of seasoned equity issuance and assess the impact of the choice of flotation method in the U.K. Rights offerings are predominant, but in 1986, British firms gained the flexibility to conduct placings, which are comparable to U.S. firm commitment offerings. A placing is a fixed-price bought deal that increases ownership dispersion. Placings generate significantly positive share price effects, whereas rights offerings have large negative valuation effects that become more adverse after 1985. We conclude that the option to conduct placings enhances the ability of firms to signal their quality and to use a seasoned equity offering to reduce ownership concentration.

We examine the investment behavior of market participants within different international markets (i.e., US, Hong Kong, Japan, South Korea, and Taiwan), specifically with regard to their tendency to exhibit herd behavior. We find no evidence of herding on the part of market participants in the US and Hong Kong and partial evidence of herding in Japan. However, for South Korea and Taiwan, the two emerging markets in our sample, we document significant evidence of herding. The results are robust across various size-based portfolios and over time. Furthermore, macroeconomic information rather than firm-specific information tends to have a more significant impact on investor behavior in markets which exhibit herding. In all five markets, the rate of increase in security return dispersion as a function of the aggregate market return is higher in up market, relative to down market days. This is consistent with the directional asymmetry documented by McQueen et al. (1996) (McQueen, G., Pinegar, M.A., Thorley, S., 1996. Journal of Finance 51, 889–919).

This paper examines the association between block ownership and market liquidity. Blockholders are believed to have access to private, value-relevant information via their roles as monitors of firms' operations. consistent with this, we find that firms with greater blockholder ownership, either by managers or external entities, have larger quoted spreads, effective spreads, adverse selection spread components, and smaller quoted depths.

This paper considers the problem of choosing the number of bootstrap repetitions B for bootstrap standard errors, confidence intervals, confidence regions, hypothesis tests, p-values, and bias correction. For each of these problems, the paper provides a three-step method for choosing B to achieve a desired level of accuracy. Accuracy is measured by the percentage deviation of the bootstrap standard error estimate, confidence interval length, test’s critical value, test’s p-value, or bias-corrected estimate based on B bootstrap simulations from the corresponding ideal bootstrap quantities for which B��. The results apply quite generally to parametric, semiparametric, and nonparametric models with independent and dependent data. The results apply to the standard nonparametric iid bootstrap, moving block bootstraps for time series data, parametric and semiparametric bootstraps, and bootstraps for regression models based on bootstrapping residuals. Monte Carlo simulations show that the proposed methods work very well.

Many economic processes are influenced by externalities within groups. Educational outcomes depend on peer-group interactions between students, which may help explain the persistence of income inequality and the stability of subcultures and social classes.' Crime rates exhibit a geographic pattern that strongly suggests the presence of interactions between potential criminals. There is also substantial evidence that amenities are influenced by interactions between neighbors, and that interactions between firms influence labor productivity.2 This paper considers how social interactions affect the institutions of local government. Specifically, we show how social interactions encourage consumers to withdraw from the traditional public sector and join exclusive groups that regulate the activities of their members. Examples include familiar organizations like exclusive suburbs and private schools and new or newly popular institutions like private governments and charter schools. Each of these institutions mediates social interactions by excluding some agents and altering the actions of others. We view the formation of these institutions as a kind of secession, since members withdraw from the civic whole and limit their interactions to other group members. These new organizations are increasingly important, surprisingly powerful, and highly controversial. One of the most widespread innovations in local government in recent years has been the rise of residential private government, including common interest developments (CIDs) and homeowner associations (HOAs). Evan McKenzie (1996) reports that the number of CIDs in the United States grew from a few hundred in the 1960's to 150,000 in 1993, and that their populations now total at least 32 million people. CIDs and HOAs are generally formed by real estate developers, and are eventually governed by an elected board of members. CIDs limit interactions with the rest of the world in a number of ways, most notoriously by building walls (Edward J. Blakely and Mary Gail Snyder, 1997). They tax their members to pay for the local public services they provide (primarily street maintenance, trash collection, and policing), collectively own and manage shared facilities (recreation centers, parks, and sometimes streets), and regulate both property use and individual conduct through covenants, conditions, and restrictions (CCRs) established by the developer. The regulatory activities of CIDs are impressive. Activities that have been prohibited include flying the flag, delivering newspapers, parking pickup trucks in the driveway, kissing outside the front door, using one's own back door too much, building fences, painting the exterior certain colors, having pets, working from one's home, marrying people below a certain age, and even having children (McKenzie, 1996 p. 4). In spite of, or perhaps because of, these regulations, CIDs provide a higher level of amenities than is available in public developments. However, critics view them as undemocratic and discriminatory private governments operating outside the constitutional restrictions that public governments face. A primary goal of this paper is to provide a model that captures the common and general features of the new institutions of local government. To that end, we develop a model of local secession motivated by social interactions and supported by regulation. The model has three essential elements. First, heterogeneous agents belong to groups, and each takes an action that * Faculty of Commerce and Business Administration, 2053 Main Mall, University of British Columbia, Vancouver, BC, V6T 1Z2 Canada. We gratefully acknowledge the financial support of the Social Sciences and Humanities Research Council of Canada, the University of British Columbia Centre for Real Estate and Urban Land Economics, and the Real Estate Foundation of British Columbia. We also appreciate the comments of David Wildasin, two anonymous referees, and seminar participants at the 1996 University of British Columbia Summer Symposium on Urban Land Economics. 1See Anita A. Summers and Barbara L. Wolfe (1977), J. Vernon Henderson et al. (1978), Roland B6nabou (1993, 1996), Steven N. Durlauf (1996), and George A. Akerlof (1997). 2 See Joseph Gyourko and Joseph Tracy (1991), Raaj Sah (1991), William N. Evans et al. (1992), Charles F. Manski (1993), Edward L. Glaeser et al. (1996), and John M. Ouigley (1998).

In markets where prices are determined by the intersection of supply and demand curves, standard identification results require the presence of instruments that shift one curve but not the other. These results are typically presented in the context of linear models with fixed coefficients and additive residuals. The first contribution of this paper is an investigation of the consequences of relaxing both the linearity and the additivity assumption for the interpretation of linear instrumental variables estimators. Without these assumptions, the standard linear instrumental variables estimator identifies a weighted average of the derivative of the behavioural relationship of interest. A second contribution is the formulation of critical identifying assumptions in terms of demand and supply at different prices and instruments, rather than in terms of functional-form specific residuals. Our approach to the simultaneous equations problem and the average-derivative interpretation of instrumental variables estimates is illustrated by estimating the demand for fresh whiting at the Fulton fish market. Strong and credible instruments for identification of this demand function are available in the form of weather conditions at sea.

Continuous-time stochastic processes are approximations to physically realizable phenomena. We quantify one aspect of the approximation errors by characterizing the asymptotic distribution of the replication errors that arise from delta-hedging derivative securities in discrete time, and introducing the notion of temporal granularity which measures the extent to which discrete-time implementations of continuous-time models can track the payoff of a derivative security. We show that granularity is a particular function of a derivative contract's terms and the parameters of the underlying stochastic process. Explicit expressions for the granularity of geometric Brownian motion and an Ornstein–Uhlenbeck process for call and put options are derived, and we perform Monte Carlo simulations to illustrate the empirical properties of granularity.

Charlotte Perkins Gilman's (1898) and Economics stands as a landmark in the feminist economic analysis of gender relations and increasingly is also recognized as a pioneering work of American institutionalist economics (see Mary Ann Dimand, 1995). Because it stands out so strongly as a major contribution, and Economics has been perceived as an isolated work, apart from links to Lester Ward's sociology and parallels with the contemporary writings of Thorstein Veblen. This paper, however, views and Economics as the culmination of four decades of American feminist economic thought, beginning with Caroline Dall and Virginia Penny, and draws attention to Gilman's connection with that tradition through Helen Campbell. This tradition is so little known that the names of these four women do not even appear in Dorothy Ross's (1991) excellent Origins of American Social Science, even though Dall founded the American Social Science Association (ASSA), referred to by Ross (1991 p. 63) as the mother of associations, including the American Economic Association, and even though Campbell won a prize from the American Economic Association for Wage-Earners (Campbell, 1893), which was published with an introduction by Richard T. Ely. Caroline Wells Healey Dall (1822-1912) first became interested in feminism in 1837-1838 as a result of Harriet Martineau's (1837) chapter on The Political Non-existence of Women in the United States and an address on women's rights given at the Boston Lyceum by Amasa Walker, an underground railway activist soon to become professor of political economy at Oberlin. In 1841, Dall (then Caroline Healey) attended a series of ten weekly conversations led by the feminist author Margaret Fuller, publishing her notes of these conversations more than half a century later. While teaching school in Georgetown in the early 1840's before her marriage, she undertook the first census of free blacks in the District of Columbia, in order to organize schools for them, and in the early 1850s, while living in Toronto (where her husband was a Unitarian minister), she acted as Canadian agent for a society aiding fugitive slaves. Dall remained in her native Boston with her two children when her husband sailed to India as a missionary (where he stayed for the remaining 30 years of his life). She reported to a women's rights convention in Boston in 1855 on the legal status of women, following with a series of annual reports on that status, and with organization of the New England Rights Convention in Boston in 1859. A precursor of Charlotte Perkins Gilman among American feminists, Dall went beyond the suffrage question and unequal laws on property rights to a critique of the economic role of women in a series of three public lectures in Boston in November 1859, published as Woman's Right to Labor; or Low Wages and Hard Work (1860). Together with two series of lectures on women's right to education and rights under the law, this series was incorporated in Dall's major work, College, the Market, and the Courts; or Women's Relation to Education, Labor, and the Law (1867). Dall (1867 [1972 p. 179]) attributed women' s discontent to restricted opportunities for paid employment, for it was no longer the case that every woman found, in spinning, weaving, and sewing in the active life of a ... household, full employment for time and thought. In moving from a survey of women's unequal legal status to a critique of women' s repressed economic role, Dall followed the same path as the British activist Barbara Bodichon (whose 1859 pamphlet, and Work, appeared in a revised American edition in 1959) and, later, Jeanne Chauvin (1892) in France. * Department of Economics, Brock University, St. Ca tharines, Ontario L2S 3A1, Canada (e-mail: dimandCc adam.econ.brocku.ca).

This study investigates the relationship between market-based measures of risk and foreign currency contingent claims activity at US commercial banks. Specifically, four types of foreign currency contingent claims are examined: purchased foreign currency option contracts, foreign-exchange swaps, commitments to purchase foreign currency and forward contracts. Within the context of the Comptroller of the Currency's (OCC’s) Banking Circular 277, we differentiate between the risk exposure of dealer banks and non-dealer banks. Empirical results suggest that (i) the use of options tends to increase all market-based measures of bank risk, (ii) swaps are used primarily for risk-control purposes and (iii) the use of forward contracts and currency commitments contributes mildly, if at all, to any type of risk. There is some evidence that swaps activity at dealer banks increases unsystematic risk. Otherwise, dealer and non-dealer banks appear to similarly manage foreign currency risk.