The Value Relevance of Sentiment

It is generally accepted that excessive exuberance or gloom in investor sentiment contributes to booms and crashes in share prices. However, views differ on the merits of active policy intervention due to gaps in our understanding of the transmission mechanism. To fill this gap we apply a fully ex ante valuation model in which an index of investor sentiment is included along with earnings and growth fundamentals to explain value. The outcome is a precise indication of the value relevance of sentiment. We employ the investor sentiment indicator proposed by Baker and Wurgler (2007). Valuation, and implied permanent growth, based on the inclusion of standard fundamentals is compared with that obtained when sentiment is added. The resulting ratio produces an index of ’the valuation effects of sentiment’ that can be assessed with statistical significance. Out-of-sample fit is also examined. For the Dow index the valuation effects of sentiment are significant and as large as 40% of market value at the peak of the ’dot-com’ bubble. The index we propose identifies conditions, detectable in advance and under the control of policy makers, that are conducive to the creation of asset bubbles. It is easy to construct, timely, robust and can be used improve our understanding of what leads to bubbles and crashes and to inform policy.Bubbles, fundamental valuation, sentiment, early warning indicators

AN ANALYSIS OF U.S. DAIRY POLICY DEREGULATION USING AN IMPERFECT COMPETITION MODEL

An imperfect competition model of the U.S. milk market is developed for analyzing the impacts of dairy policy deregulation. Estimated degree-of-competition parameters indicate that the U.S. milk market has become more competitive over time. The usefulness of the model is demonstrated by showing the relative differences of dynamic simulation results of the imperfect competition model with the results of a conventional exogenous fluid differential model.Agricultural and Food Policy,

Annotated Bibliography of Generic Commodity Promotion Research (Revised)

A.E. Res. 91-

AN ECONOMIC ANALYSIS OF THE U.S. GENERIC DAIRY ADVERTISING PROGRAM USING AN INDUSTRY MODEL

The market impacts of generic dairy advertising are assessed using an industry model which encompasses supply and demand conditions at the retail, wholesale, and farm levels, and government intervention under the dairy price support program. The estimated model is used to simulate price and quantity values for four advertising scenarios: (1) no advertising, (2) historical fluid advertising, (3) historical manufactured advertising, and (4) historical fluid and manufactured advertising. Compared to previous studies, the dairy-industry model provides additional insights into the way generic dairy advertising influences prices and quantities at the retail, wholesale, and farm levels.Livestock Production/Industries, Marketing,

Electric field gradients in the rare earth–aluminium compounds RAl₂ and RAl₃ studied by ^(111)Cd perturbed angular correlations

Perturbed angular correlation (PAC) spectroscopy has been used to investigate the electric field gradient (EFG) at the probe nucleus ^(111)In/^(111)Cd in the paramagnetic phase of the rare earth (R)-aluminium compounds RAl₂ for all R elements and Y and in RAl₃ for R=Gd,Tm,Yb,Lu. The nuclear electric quadrupole interaction (QI) between the EFG and the ^(111)Cd quadrupole moment was measured as a function of temperature in the range T_c < T ≤ 1200 K. In the second half of the RAl₂ series and in the RAl₃ compounds, except for YbAl₃, the quadrupole frequency v_q shows the monotonous decrease with increasing temperature normally observed with closed-shell probe nuclei in metallic systems. In the early members of the RAl₂ series, however, v_q (T) passes through a maximum at T similar to 300 K. It is proposed that this unusual behavior reflects a contribution of the 4f shell of the R constituents to the EFG at the Al site which is quenched at higher temperatures by thermal averaging of the 4f quadrupole moment. In the intermediate-valence compound YbAl₃ the temperature dependence of the QI exhibits a shallow maximum which can be related to the temperature variation of the 4f hole occupation. Furthermore the PAC spectra provide information on the site preference of the ^111In solutes in RAl₂ for different R constituents and temperatures. In two-phase samples containing RAl₂ and RAl₃ with AuCu₃ structure, at T < 900 K the solutes show a very pronounced preference for the Al site of RAl₃, but at higher temperatures they migrate to the Al site of RAl₂. Jumps of the ^(111)In/ ^(111)Cd probes on the Al sublattice of RAl₃ compounds with AuCu₃ structure (R=Tm,Yb,Lu) lead to nuclear spin relaxation of ^(111)Cd. The temperature dependence of the relaxation rates shows an Arrhenius behavior with jump activation enthalpies E_(A)=1.6(1) eV for R=Tm, Lu and E_(A)=1.2(1) eV for R=Yb

MODELING THE U.S. DAIRY SECTOR WITH GOVERNMENT INTERVENTION

An econometric framework for estimating a two-regime dairy structural system is presented. Failure to account for switching between regimes due to government price intervention raises the problem of selectivity bias. Further, since a structural system of equations is involved, the problem is not limited to the market associated with the intervention. Rather, bias from a single source can distort all equations in the system. The ramifications of not correcting for the bias in policy analyses are investigated.Agricultural and Food Policy, Industrial Organization,

GENERIC ADVERTISING WEAROUT: THE CASE OF THE NEW YORK CITY FLUID MILK CAMPAIGN

This article examines two major generic fluid milk advertising campaigns in New York City during the 1986-92 period. Estimates from a time-varying parameter model show that the evolution of the impact of generic advertising on fluid milk sales over each campaign followed a bell-shaped pattern. Results also show that the first campaign was effective for twice as long as the second campaign and that it has a higher peak and higher average advertising elasticity. These findings may reflect long-term generic milk advertising wearout in the New York City market.Marketing,

Spectrum of magnetic hyperfine fields at ^111 C probe nuclei in the pseudobinary rare-earth Laves-phase compounds R_(1-x)Y_xCo₂

The spectrum of the magnetic hyperfine fields at the closed-shell probe nucleus ^111 Cd on the rare earth (R) site of the pseudobinary Laves-phase compounds R_81-x)Y_xCo₂ has been investigated by perturbed angular correlation (PAC) spectroscopy at 10 K for the rare earth R=Tb and Ho at various Y concentrations x ≤ 0.8 and for R=Gd, Dy, Er at the concentration x=0.3. Up to four components with different magnetic interaction frequencies ν^(i) _(M) could be resolved from the PAC spectra. The relative intensities of these components are in fair agreement with those of a binomial distribution of Y atoms on the four nearest neighbor (NN) R sites of the probe nucleus. For all R constituents, one finds a strictly linear relation between the number n_(R) of NN R atoms and the magnetic hyperfine frequencies: ν^(i) _(M) =ν_(M)(4Y)+∆ ν(M) Xn_(R).The frequency ν_(M)(4Y)=35(2) MHz is independent of the R constituent and of the Y concentration up to x ≤ 0.6. These properties identify ν_(M)(4Y) as the contribution of the Co 3d moments to the hyperfine interaction at the ^111 Cdsite. The frequency steps ∆ ν_(M)[≤ 0.1 ν_(M)(4Y)] reflect the spin polarization directly induced by the 4f spins at the probe nucleus. From Gd to Er, the spin polarization decreases much stronger than expected from the linear variation of the 4f spin in the heavy R series. An indirect 4f contribution caused by a dependence of the Co 3d moment on the number of R neighbors can be excluded. The relation ν_(M)^(i) = ν_(M)(4Y) + ∆ν_(M) X n_(R) then implies that the contributions of the 3d and 4f spins to the magnetic hyperfine field in RCo₂ have the same relative sign