[This article investigates the predictability of jump arrivals in U.S. stock markets. Using a new test that identifies jump predictors up to the intraday level, I find that jumps are likely to occur shortly after macroeconomic information releases, such as the Federal Reserve announcements, nonfarm payroll reports, and jobless claims, as well as market index jumps. I also find firm-specific jump predictors related to earnings releases, analyst recommendations, past stock jumps, and dividend dates. Evidence suggests that distinguishing systematic jumps from idiosyncratic jumps is possible using the characteristics of jump predictors. Finally, I present a short-term jump size clustering.]

Abstract We investigate intraday return dynamics in currency markets around FOMC announcements. Using comprehensive high-frequency exchange rate data, we reveal that post-FOMC announcement returns are significantly low, cancelling out approximately 65% of positive pre-FOMC announcement drifts. These post-announcement reversals mainly result from uncertainty resolution and are mostly realized between 12 and 24 hours after FOMC announcements. This return behavior is significantly related to the negative jump volatilities driven by FOMC announcements. Our findings suggest that our signed jump volatility measures capture informational shocks and uncertainty resolutions and tend to be high under illiquid market conditions. (JEL G14, G15)

This paper measures the impact of vertically integrated and exclusive software on industry structure and welfare in the sixth-generation of the US video game industry (2000–2005). I specify and estimate a dynamic model of both consumer demand for hardware and software products, and software demand for hardware platforms. I use estimates to simulate market outcomes had platforms been unable to own or contract exclusively with software. Driven by increased software compatibility, hardware and software sales would have increased by 7 percent and 58 percent and consumer welfare by $1.5 billion. Gains would be realized only by the incumbent, suggesting exclusivity favored the entrant platforms. (JEL D12, L13, L22, L63, L86)

Abstract The purpose of this article is to evaluate the two Korean laws of 1958 and 1962 relating to price-level adjustments, to explore their background; and to suggest the importance of voluntary interest by accountants in price level procedures to meet the problems of inflation. As long as inflation remains unchecked, it appears that further government laws dealing with revaluation may be necessary. If accountants were well acquainted with the calculations to apply to each account, it might eventually be unnecessary for the government, in this case, Korea to fix multipliers, which are neither flexible nor reasonable. The Korean experiences suggest several general recommendations. It would seem important to stress broad accounting education on price level problems, to urge more active participation by the accounting profession in solving these problems, and to continue to speak for freedom in the selecting of accounting procedures such as depreciation methods. Moreover, the application of price level adjustments should not await the time consuming legal maneuvers that are usually too late in being applied.

The impact of insurer competition on welfare, negotiated provider prices, and premiums in the U.S. private health care industry is theoretically ambiguous. Reduced competition may increase the premiums charged by insurers and their payments made to hospitals. However, it may also strengthen insurers' bargaining leverage when negotiating with hospitals, thereby generating offsetting cost decreases. To understand and measure this trade-off, we estimate a model of employer-insurer and hospital-insurer bargaining over premiums and reimbursements, household demand for insurance, and individual demand for hospitals using detailed California admissions, claims, and enrollment data. We simulate the removal of both large and small insurers from consumers' choice sets. Although consumer welfare decreases and premiums typically increase, we find that premiums can fall upon the removal of a small insurer if an employer imposes effective premium constraints through negotiations with the remaining insurers. We also document substantial heterogeneity in hospital price adjustments upon the removal of an insurer, with renegotiated price increases and decreases of as much as 10% across markets.

[This article introduces a new nonparametric test to detect jump arrival times and realized jump sizes in asset prices up to the intra-day level. We demonstrate that the likelihood of misclassification of jumps becomes negligible when we use high-frequency returns. Using our test, we examine jump dynamics and their distributions in the U.S. equity markets. The results show that individual stock jumps are associated with prescheduled earnings announcements and other company-specific news events. Additionally, S&P 500 Index jumps are associated with general market news announcements. This suggests different pricing models for individual equity options versus index option.]

This paper empirically assesses the wage effects of the Job Corps program, one of the largest federally funded job training programs in the U.S. Even with the aid of a randomized experiment, the impact of a training program on wages is difficult to study because of sample selection, a pervasive problem in applied microeconometric research. Wage rates are only observed for those who are employed, and employment status itself may be affected by the training program. This paper develops an intuitive trimming procedure for bounding average treatment effects in the presence of sample selection. In contrast to existing methods, the procedure requires neither exclusion restrictions nor a bounded support for the outcome of interest. Identification results, estimators, and their asymptotic distribution are presented. The bounds suggest that the program raised wages, consistent with the notion that the Job Corps raises earnings by increasing human capital, rather than solely through encouraging work. The estimator is generally applicable to typical treatment evaluation problems in which there is nonrandom sample selection/attrition. Copyright Copyright © 2009 The Review of Economic Studies Limited.

This article investigates the predictability of jump arrivals in U.S. stock markets. Using a new test that identifies jump predictors up to the intraday level, I find that jumps are likely to occur shortly after macroeconomic information releases, such as the Federal Reserve announcements, nonfarm payroll reports, and jobless claims, as well as market index jumps. I also find firm-specific jump predictors related to earnings releases, analyst recommendations, past stock jumps, and dividend dates. Evidence suggests that distinguishing systematic jumps from idiosyncratic jumps is possible using the characteristics of jump predictors. Finally, I present a short-term jump size clustering. The Author 2011. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: [email protected]., Oxford University Press.

This paper provides an introduction and “user guide” to Regression Discontinuity (RD) designs for empirical researchers. It presents the basic theory behind the research design, details when RD is likely to be valid or invalid given economic incentives, explains why it is considered a “quasi-experimental” design, and summarizes different ways (with their advantages and disadvantages) of estimating RD designs and the limitations of interpreting these estimates. Concepts are discussed using examples drawn from the growing body of empirical research using RD. (JEL C21, C31)

The magnitude of growth in “underlying” wage inequality in the United States during the 1980s is obscured by a concurrent decline in the federal minimum wage, which itself could cause an increase in observed wage inequality. This study uses regional variation in the relative level of the federal minimum wage to separately identify the impact of the minimum wage from nationwide growth in “latent” wage dispersion during the 1980s. The analysis suggests that the minimum wage can account for much of the rise in dispersion in the lower tail of the wage distribution, particularly for women.