ABSTRACT A cash‐in‐advance model of a monetary economy is used to derive a money‐based CAPM (M‐CAPM), which allows us to implement tests of asset pricing restrictions without consumption data. A test as in Fama and MacBeth of the model suggests that the money betas have some explanatory power for the cross‐sectional variation of expected returns; however, the model is rejected using conditional information. Consistent with our predictions, estimates of the curvature parameter are lower than those of the consumption CAPM (C‐CAPM) and pricing errors of the M‐CAPM tend to be smaller than those of the C‐CAPM.

A cash-in-advance model of a monetary economy is used to derive a money-based capital asset pricing model (M-CAPM), which allows the authors to implement tests of asset pricing restrictions without consumption data. A test as in Eugene F. Fama and James D. Macbeth (1973) of the model suggests that the money betas have some explanatory power for the cross-sectional variation of expected returns; however, the model is rejected using conditional information. Consistent with their predictions, estimates of the curvature parameter are lower than those of the consumption capital asset pricing model (C-CAPM) and pricing errors of the M-CAPM tend to be smaller than those of the C-CAPM.

Using a panel data set for the forty-eight contiguous states from 1970 to 1983, several estimates are provided of a Cobb-Douglas production function with three types of public capital as inputs. Various specification tests are systematically applied to test for both random and fixed state effects, nonstationarity, endogeneity of the private inputs, and measurement error. In the preferred specification, which is first differences with fixed state effects, the public capital variables are not significant, while the fixed state effects and private input variables are significant. Copyright 1996 by MIT Press.

The Home Mortgage Disclosure Act was enacted to monitor minority and low-income access to the mortgage market. The data collected for this purpose show that minorities are more than twice as likely to be denied a mortgage as whites. Yet variables correlated with both race and creditworthiness were omitted from these data, making any conclusion about race's role in mortgage lending impossible. The Federal Reserve Bank of Boston collected additional variables important to the mortgage lending decision and found that race continued to play an important, though significantly diminished, role in the decision to grant a mortgage.

A cash-in-advance model of a monetary economy is used to derive a money-based CAPM (M-CAPM), which allows us to implement tests of asset pricing restrictions without consumption data. A test as in Fama and MacBeth of the model suggests that the money betas have some explanatory power for the cross-sectional variation of expected returns; however, the model is rejected using conditional information. Consistent with our predictions, estimates of the curvature parameter are lower than those of the consumption CAPM (C-CAPM) and pricing errors of the M-CAPM tend to be smaller than those of the C-CAPM.

Examines the relations between the disclosure practices of firms, the number of analysts following each firm and properties of the analysts' earnings forecasts. Forecast dispersion and disclosure; Forecast accuracy and disclosure; Volatility of forecast revisions and disclosure.

Provides evidence that fair value estimates of loans, securities and long-term debt disclosed under Statement of Financial Accounting Standards (SFAS) No. 107 provide significant explanatory power for bank share prices beyond that provided by related book values. First-difference estimation; Specifications.

We examine corporate issuance and payout policies in the presence of both adverse selection (in capital markets) and managerial opportunism. Our results establish the importance of the locus of decision control in the firm. When shareholders determine policies, debt financing is always optimal in the presence of either adverse selection or managerial opportunism. However, when both of these problems are simultaneously present, equity issuance can become an optimal signaling mechanism. Shareholders' most preferred signaling mechanism is restricting dividends, followed by equity financing, and finally underpricing securities. When managers determine policies, a reversed hierarchy may be obtained.

ABSTRACT We examine corporate issuance and payout policies in the presence of both adverse selection (in capital markets) and managerial opportunism. Our results establish the importance of the locus of decision control in the firm. When shareholders determine policies, debt financing is always optimal in the presence of either adverse selection or managerial opportunism. However, when both of these problems are simultaneously present, equity issuance can become an optimal signaling mechanism. Shareholders' most preferred signaling mechanism is restricting dividends, followed by equity financing, and finally underpricing securities. When managers determine policies, a reversed hierarchy may be obtained.