This paper develops an exact theoretical test of the presence or absence of a filter effect for a portfolio of securities and a general number of different filter sizes. It is a natural development from Praetz [8], which obtained exact expressions for the mean and variance of rates of return of the investment strategies under filter tests assuming the underlying stochastic process is a random walk. These expressions showed that expected returns from filter strategies are, in fact, less than the return from a buy-andhold alternative with which filter returns are usually compared.

Roger P. Bey, Estimating the Optimal Stochastic Dominance Efficient Set with a Mean-Semivariance Algorithm, The Journal of Financial and Quantitative Analysis, Vol. 14, No. 5 (Dec., 1979), pp. 1059-1070

Richard P. Castanias II, Comment: Bhattacharya Paper, The Journal of Financial and Quantitative Analysis, Vol. 14, No. 4, Proceedings of 14th Annual Conference of the Western Finance Association, June 21-23, 1979 (Nov., 1979), pp. 705-710

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Journal Article A Theorem on Aggregation across Consumers in Neoclassical Labour Supply Get access P. Simmons P. Simmons University of York Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 46, Issue 4, October 1979, Pages 737–740, https://doi.org/10.2307/2297039 Published: 01 October 1979 Article history Received: 01 February 1978 Accepted: 01 January 1979 Published: 01 October 1979

A definition of market adjustment is proposed in terms of the time it takes market attributes to reflect new information. Properties of the proposed definition are discussed. In order to operationalize the concept, a statistical method is introduced to estimate the adjustment times. Empirical examples are used to illustrate the proposed method. Some possible economic interpretations are given. The properties of the estimator are also investigated by simulation and analytical methods.

An important characteristic of the U.S. population is its geographic mobility. In 1970 18 percent of the population was living in a county that was different from their 1965 county of residence; half of these migrants had also moved across state lines. Previous work on geographic mobility can be classified into two categories. The first is composed of studies that have used aggregate data (for example Samuel Bowles Michael Greenwood 1969 Ira Lowry and Aba Schwartz) to examine the determinants of net or gross migration for SMSAs or other geographic divisions. The second category of research has used data on individuals (for example Julie DaVanzo Richard Kaluzny John Lansing and Eva Mueller and Solomon Polachek and Francis Horvath) to explore the relationship between an individuals characteristics and his decision to migrate. This article continues the work on the analysis of the individuals decision to migrate but differs from the previous studies by focusing on the relationship between job mobility and migration. First the proportion of geographic mobility that occurs in conjunction with a job change is calculated. Second it is shown that the true effects of human capital variables job characteristics and family variables on the decision to migrate are best measured when one takes account of the relationship between migration and job mobility. Third the effect of migration on the wage gains of individuals is studied and again the need for distinguishing among moves that were associated with quits layoffs and transfers is clearly shown. Finally by using three data sets that encompass different age groups (the National Longitudinal Surveys (NLS) of Young and Mature Men and the Coleman-Rossi Retrospective Life History Study) the importance of the relationship between migration and job mobility is demonstrated at different points in the life cycle. Section I of the article presents some summary statistics on the extent of geographic mobility among the individuals in the samples and documents the relationship between migration and job mobility. In Section II a framework for analyzing the decision to migrate is discussed. Sections III and IV present the empirical results while Section V summarizes the analysis. (excerpt)