Macro-players in stock markets

It is usually assumed that stock prices reflect a balance between large numbers of small individual sellers and buyers. However, over the past fifty years mutual funds and other institutional shareholders have assumed an ever increasing part of stock transactions: their assets, as a percentage of GDP, have been multiplied by more than one hundred. The paper presents evidence which shows that reactions to major shocks are often dominated by a small number of institutional players. Most often the market gets a wrong perception and inadequate understanding of such events because the relevant information (e.g. the fact that one mutual fund has sold several million shares) only becomes available weeks or months after the event, through reports to the Securities and Exchange Commission (SEC). Our observations suggest that there is a radical difference between small ($< 0.5$) day-to-day price variations which may be due to the interplay of many agents and large ($>5$) price changes which, on the contrary, may be caused by massive sales (or purchases) by a few players. This suggests that the mechanisms which account for large returns are markedly different from those ruling small returns.Comment: 17 pages, 7 figures, 3 table

Housing finance in transition economies : the early years in Eastern Europe and the former Soviet Union

The transition to markets dominates the development agenda of the 1990s. Financial sector reforms are central to a successful transition to a market economy. The author focuses on one dimension of these reforms: the development of housing finance institutions and services. He presents a progress report for the years since 1989, when the road to change opened with the collapse of communist regimes in most countries. Rather than a detailed account of reform in 25 countries, he offers a general framework for analyzing change and evaluating the prospects for rapid development of market-based housing finance systems. To understand why sound housing finance systems have not yet developed, one must consider factors in four key reform areas: the macroeconomic policies adopted to liberalize the economy and stabilize prices; privatization policies, in particular in housing and real estate; the strategies adopted - whether by design or by default - to reform the financial sector; the nature of the financial priorities and institutional constraints affecting housing finance reform strategies followed in different countries. Housing finance policy development has been somewhat haphazard in many countries. But the evidence suggests that the transition economiesthat have achieved low inflation, have adopted radical banking reforms, and seriously reformed and liberalized their real estate sector should be among the first to develop a modern system of housing finance.Non Bank Financial Institutions,Banks&Banking Reform,Payment Systems&Infrastructure,Housing Finance,Public Sector Economics&Finance,Banks&Banking Reform,Housing Finance,Public Sector Economics&Finance,Non Bank Financial Institutions,Municipal Financial Management

Effect of marital status on death rates. Part 1: High accuracy exploration of the Farr-Bertillon effect

The Farr-Bertillon law says that for all age-groups the death rate of married people is lower than the death rate of people who are not married (i.e. single, widowed or divorced). Although this law has been known for over 150 years, it has never been established with great accuracy. This even let some authors argue that it was a statistical artefact. It is true that the data must be selected and analyzed with great care, especially for age groups of small size such as widowers under 25. The observations reported in this paper were selected and designed in the same way as experiments in physics, that is to say with the objective of minimizing the error bars for all age-groups. It will be seen that data appropriate for mid-age groups may be unsuitable for young age groups and vice versa. The investigation led to the following results. (1) The FB effect is basically the same for men and women, except that on average it is about 20\% stronger for men. (2) There is a marked difference between single or divorced persons on the one hand, for whom the effect is largest around the age of 45, and widowed persons on the other hand, for whom the effect is largest around the age of 25. (3) When different causes of death are distinguished, the effect is largest for suicide and smallest for cancer. (4) For young widowers the death rates are up to 10 times higher than for married persons of same age. This extreme form of the FB effect will be referred to as the "young widower effect." A possible connection between the FB effect and Martin Raff's "Stay alive" effect for cells in an organism is discussed in the last section.Comment: 30 pages, 17 figure

Effect of marital status on death rates. Part 2: Transient mortality spikes

We examine what happens in a population when it experiences an abrupt change in surrounding conditions. Several cases of such "abrupt transitions" for both physical and living social systems are analyzed from which it can be seen that all share a common pattern. First, a steep rising death rate followed by a much slower relaxation process during which the death rate decreases as a power law (with an exponent close to 0.7). This leads us to propose a general principle which can be summarized as follows: "ANY abrupt change in living conditions generates a mortality spike which acts as a kind of selection process." This we term the Transient Shock conjecture. It provides a qualitative model which leads to testable predictions. For example, marriage certainly brings about a major change in environmental and social conditions and according to our conjecture one would expect a mortality spike in the months following marriage. At first sight this may seem an unlikely proposition but we demonstrate (by three different methods) that even here the existence of mortality spikes is supported by solid empirical evidence.Comment: 42 pages, 18 figure

Tests of representative firm models: results for German manufacturing industries

Many studies of producer behavior consider cost and input demand functions de-rived from microeconomic theory and estimate them on the basis of aggregate data. If firms' characteristics differs, the neglect heterogeneity can lead to estimation bias. An alternative is to restrict individual behavioral functions to be linear in the firm specific parameters. The aim of this paper is to describe aggregate producer behavior without placing too strong restrictions on the functional form and to explicitly take account of firm heterogeneity. Estimation for German manufacturing sectors confirms that ne-glected heterogeneity is an important source of bias in representative agent models. --exact aggregation,representative firm,heterogeneity,demand system