Charitable Bequests and Taxes on Inheritances and Estates: Aggregate Evidence from across States and Time by Jon M. Bakija, William G. Gale and Joel B. Slemrod. Published in volume 93, issue 2, pages 366-370 of American Economic Review, May 2003

We propose a functional estimation procedure for homogeneous stochastic differential equations based on a discrete sample of observations and with minimal requirements on the data generating process. We show how to identify the drift and diffusion function in situations where one or the other function is considered a nuisance parameter. The asymptotic behavior of the estimators is examined as the observation frequency increases and as the time span lengthens. We prove almost sure consistency and weak convergence to mixtures of normal laws, where the mixing variates depend on the chronological local time of the underlying diffusion process, that is the random time spent by the process in the vicinity of a generic spatial point. The estimation method and asymptotic results apply to both stationary and nonstationary recurrent processes.

We use data from the 1993 and 1998 National Surveys of Small Business Finances to examine the existence of racial discrimination in the small-business credit market. We conduct an econometric analysis of loan outcomes by race and find that black-owned small businesses are about twice as likely to be denied credit even after controlling for differences in creditworthiness and other factors. A series of specification checks indicates that this gap is unlikely to be explained by omitted variable bias. These results indicate that the racial disparity in credit availability is likely caused by discrimination.

This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late 1990s show that idiosyncratic firm‐level volatility can explain as much cross‐sectional variation in yields as can credit ratings. This finding, together with the upward trend in idiosyncratic equity volatility documented by Campbell, Lettau, Malkiel, and Xu (2001), helps to explain recent increases in corporate bond yields.

The purpose of this study is to highlight issues of interest to researchers employing the I/B/E/S earnings and forecast data. I/B/E/S has traditionally provided per share data on a split-adjusted basis, rounded to the nearest penny. In doing so, per share amounts are comparable over time. However, because not all prior forecasts and earnings per share amounts divide precisely to a penny, adjusting for stock splits and rounding to the nearest penny can cause a loss of information. Researchers are prohibited in many cases from determining the amounts actually reported in prior years, leading to misclassified observations. We obtain actual (unadjusted) earnings and forecast data from I/B/E/S and compare results to those generated using the a djusted I/B/E/S data. We replicate prior studies and find that conclusions are affected when using the actual I/B/E/S data.

Regional Workshops to Improve the Teaching Skills of Economics Faculty by Rae Jean B. Goodman, Mark Maier and Robert L. Moore. Published in volume 93, issue 2, pages 460-462 of American Economic Review, May 2003

This study investigates the relationship between underpricing, ownership structure and post-listing liquidity of initial public offerings (IPOs). It is argued that higher underpricing induces both broader investor participation and creates a more diffuse ownership structure. These two factors are in turn positively associated with the level of post-listing trading, and therefore offer an explanation of how underpricing can influence liquidity. Using a sample of Australian IPOs, we provide evidence of statistically significant relationship between underpricing and various proxies for shareholding distribution and liquidity. This result remains robust after controlling for a number of potential underlying factors that may drive both underpricing and ownership allocation decisions. Overall, our analysis suggests that liquidity is a partial but important benefit of underpricing an IPO.

We reconcile trade theory with plant-level export behavior, extending the Ricardian model to accommodate many countries, geographic barriers, and imperfect competition. Our model captures qualitatively basic facts about U.S. plants: (i) productivity dispersion, (ii) higher productivity among exporters, (iii) the small fraction who export, (iv) the small fraction earned from exports among exporting plants, and (v) the size advantage of exporters. Fitting the model to bilateral trade among the United States and 46 major trade partners, we examine the impact of globalization and dollar appreciation on productivity, plant entry and exit, and labor turnover in U.S. manufacturing.

The probit is generally considered to be one of the easiest nonlinear maximum likelihood problems. Nonetheless, in the course of at-tempting to replicate G. S. Maddala’s (1992, pp. 335–38) probit example, Houston Stokes (2003) encountered great difficulty. Of the six coeffi-cients, five coefficients/standard errors he could duplicate, but the sixth was off by more than rounding error. So he tried another package. And another. And another.... Finally, five dif-ferent packages had declared convergence to five solutions that differed only in the sixth coefficient. Estimates of the sixth coefficient ranged from 4.4 to 8.1, and estimates on its standard error ranged from 46 to 114,550.

The Instructional Use and Teaching Preparation of Graduate Students in U.S. Ph.D.-Granting Economics Departments by William B. Walstad and William E. Becker. Published in volume 93, issue 2, pages 449-454 of American Economic Review, May 2003