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com Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Con ditions of Use http://www.jstor.org/page/info/about/policies/terms.jsp. NUMBER OF CITATIONS : 25 ------------------------------------------------------------------------1. Title: Volatility and Links between National Stock Markets Author(s): Mervyn King; Enrique Sentana; Sushil Wadhwani Source: Econometrica, Vol. 62, No. 4 (Jul., 1994), pp. 901-933 Publisher(s): The Econometric Society Stable URL: http://www.jstor.org/stable/2951737 Abstract: The empirical objective of this study is to account for the time-varia tion in the covariances between stock markets, and to assess the extent of capit al market integration. Using data on sixteen national stock markets, we estimate a multivariate factor model in which the volatility of returns is induced by ch anging volatility in the factors. Unanticipated returns are assumed to depend bo th on innovations in "observable" economic variables and on "unobservable" facto rs. The risk premium on an asset is a linear combination of the risk premia asso ciated with factors. We find that idiosyncratic risk is significantly priced, an d that the "price of risk" is not common across countries. This either can be in terpreted as evidence against the null of integrated capital markets or could re flect the failure of some other maintained assumptions. Another empirical findin g is that only a small proportion of the covariances between national stock mark ets and their time-variation can be accounted for by "observable" economic varia bles. Changes in correlations between markets are driven primarily by movements in "unobservable" variables. 2. Title: Taking Stock: Monetary Policy Transmission to Equity Markets Author(s): Michael Ehrmann; Marcel Fratzscher Source: Journal of Money, Credit and Banking, Vol. 36, No. 4 (Aug., 2004), pp. 719-737 Publisher(s): Ohio State University Press Stable URL: http://www.jstor.org/stable/3839039 Abstract: This paper analyses the effects of U.S. monetary policy on stock marke ts. We present evidence that individual stocks react in a highly heterogeneous f ashion to U.S. monetary policy shocks and relate this heterogeneity to financial constraints and Tobin's q. First, we show that there are strong industry-specif ic effects of U.S. monetary policy. Second, we also find that for the 500 indivi dual stocks comprising the S&P500 the firms with low cash flows, small size, poo r credit ratings, low debt to capital ratios, high price-earnings ratios, or a h igh Tobin's q are affected significantly more by monetary policy. 3. Title: Relationship Lending, Accounting Disclosure, and Credit Availability dur ing the Asian Financial Crisis Author(s): Wenying Jiangli; Haluk Unal; Chiwon Yom Source: Journal of Money, Credit and Banking, Vol. 40, No. 1 (Feb., 2008), pp. 25-55 Publisher(s): Wiley Stable URL: http://www.jstor.org/stable/25096239 Abstract: We examine whether lending relationships benefit firms by making credi t more available during periods of financial stress. Our main finding is that du

ring the Asian financial crisis of July 1997 through the end of 1998, relationsh ip lending increased the likelihood that Korean and Thai firms would obtain cred it but it had no effect on Indonesian and Philippine firms. We ask if accounting disclosure might explain the observed differences among the three countries for which audit information is available. We find that for Indonesian firms with we ak lending relationships, banks replace relationship lending technology with a f inancial-statement lending technology. Such a result does not hold for Korean an d Philippine firms. 4. Title: Does Monetary Policy Have Asymmetric Effects on Stock Returns? Author(s): Shiu-Sheng Chen Source: Journal of Money, Credit and Banking, Vol. 39, No. 2/3 (Mar. - Apr., 2 007), pp. 667-688 Publisher(s): Wiley Stable URL: http://www.jstor.org/stable/4494266 Abstract: This paper investigates whether monetary policy has asymmetric effects on stock returns using Markov-switching models. Different measures of a monetar y policy stance are adopted. Empirical evidence from monthly returns on the Stan dard & Poor's 500 price index suggests that monetary policy has larger effects o n stock returns in bear markets. Furthermore, it is shown that a contractionary monetary policy leads to a higher probability of switching to the bear-market re gime. 5. Title: Same Financial Development Yet Different Economic Growth: Why? Author(s): Chung-Hua Shen; Chien-Chiang Lee Source: Journal of Money, Credit and Banking, Vol. 38, No. 7 (Oct., 2006), pp. 1907-1944 Publisher(s): Ohio State University Press Stable URL: http://www.jstor.org/stable/3838970 Abstract: We re-study the relationship between financial development and real GD P per capita growth in 48 countries. What we find is an interesting evidence tha t only stock market development has positive effects on growth and that banking development has an unfavorable, if not negative, effect on growth. We examine wh ether or not these impacts are a product of various financial and economic condi tional variables. Our conditional variables consist of financial liberalization, two sets of country development dummies, crises in banking and currency dummies , the creditor protection index as well as the anti-director and corruption indi ces. Our results clearly show that the conditional variables of financial libera lization, high-income level, and good shareholder protection mitigate the negati ve impacts of banking development on growth. In contrast, the conditional variab les of middle-income level, regional Latin American, Sub-Saharan African and Eas t Asian dummies, banking and currency crises, good creditor protection, and high er corruption strengthen the negative impacts of banking development on growth. Next, the conditional variables of middle-income level, Latin American, Sub-Saha ran African, and East Asian dummies strengthen the positive impacts of stock mar ket development on growth, whereas the conditional variables of financial libera lization mitigate the positive impacts of stock market development on growth. La st, we find that the relationship between growth and bank development is better described as a weak inverse U-shape. This inverse U-shape becomes stronger when additional stock market variables are squared. Thus, financial development and g rowth may, in fact, be in a nonlinear form. 6. Title: Steam as a General Purpose Technology: A Growth Accounting Perspective Author(s): Nicholas Crafts Source: The Economic Journal, Vol. 114, No. 495 (Apr., 2004), pp. 338-351 Publisher(s): Wiley on behalf of the Royal Economic Society Stable URL: http://www.jstor.org/stable/3590098

Abstract: The contribution of steam to British economic growth in the nineteenth century is estimated using growth accounting methods similar to those recently employed to examine the role of ICT. The results indicate that steam contributed little to growth before 1830 and had its peak impact about a hundred years afte r Watt's famous invention. Only with the advent of high-pressure steam after 185 0 did the technology realise its potential. Compared with ICT, steam's impact on the annual rate of growth was modest. It is unlikely that these conclusions are vulnerable to quantification of hitherto unmeasured TFP spillovers. 7. Title: Technological Change and the Stock Market Author(s): John Laitner; Dmitriy Stolyarov Source: The American Economic Review, Vol. 93, No. 4 (Sep., 2003), pp. 1240-12 67 Publisher(s): American Economic Association Stable URL: http://www.jstor.org/stable/3132287 Abstract: Tobin's average q has usually been well above 1, but fell below 1 duri ng 1974-1984. Our model explains this pattern and reconciles it with unchanging aggregate investment. The stock market value in the numerator of q reflects owne rship of physical capital and knowledge, but the denominator measures just physi cal capital. Therefore, q is usually above 1. Periodic arrivals of important new technologies, such as the microprocessor in the 1970's, suddenly render old kno wledge and capital obsolete, causing the stock market to drop. National accounts measures of physical capital miss this rapid obsolescence. Then q appears to dr op below 1. 8. Title: Puzzles in the Chinese Stock Market Author(s): John Fernald; John H. Rogers Source: The Review of Economics and Statistics, Vol. 84, No. 3 (Aug., 2002), p p. 416-432 Publisher(s): The MIT Press Stable URL: http://www.jstor.org/stable/3211561 Abstract: Many companies on China's stock markets have traditionally had separat e, restricted classes of shares for domestic residents and foreigners. These sha res are identical other than for who can own them, but foreigners have generally paid only about one-quarter the price paid by domestic residents. We argue that the generally higher level (and volatility) of domestic share prices is consist ent with the simplest asset pricing model, assuming plausible differences-about four percentage points-in expected rates of return by foreign and domestic inves tors. We attribute low Chinese expected returns to the limited alternative inves tments available in China. We then estimate how various company characteristics (including capital asset pricing model (CAPM) betas, company size, market liquid ity, and other characteristics) affect the relative price paid by foreigners in a panel of companies. We find, for example, that foreigners pay a lower relative price for companies with a higher proportion owned by the state-reflecting, sur prisingly, a higher absolute price paid by both foreigners and domestic resident s. 9. Title: Is There a Positive Relationship between Stock Market Volatility and the Equity Premium? Author(s): Chang-Jin Kim; James C. Morley; Charles R. Nelson Source: Journal of Money, Credit and Banking, Vol. 36, No. 3, Part 1 (Jun., 20 04), pp. 339-360 Publisher(s): Ohio State University Press Stable URL: http://www.jstor.org/stable/3838977 Abstract: This paper investigates whether evidence for a positive relationship b etween stock market volatility and the equity premium is more decisive when the volatility feedback effects of large and persistent changes in market volatility

are taken into account. The analysis has two components. First, a log-linear pr esent value framework is employed to derive a formal model of volatility feedbac k under the assumption of Markov-switching market volatility. Second, the model is estimated for a variety of assumptions about information available to economi c agents. The empirical results suggest the existence of a negative and signific ant volatility feedback effect, supporting a positive relationship between stock market volatility and the equity premium. 10. Title: Education Quality and Development Accounting Author(s): TODD SCHOELLMAN Source: The Review of Economic Studies, Vol. 79, No. 1 (January 2012), pp. 388 -417 Publisher(s): Oxford University Press Stable URL: http://www.jstor.org/stable/41407055 Abstract: This paper measures the role of quality-adjusted years of schooling in accounting for cross-country output per worker differences. While data on years of schooling are readily available, data on education quality are not. I use th e returns to schooling of foreign-educated immigrants in the U.S. to measure the education quality of their birth country. Immigrants from developed countries e arn higher returns than do immigrants from developing countries. I show how to i ncorporate this measure of education quality into an otherwise standard developm ent accounting exercise. The main result is that cross-country differences in ed ucation quality are roughly as important as cross-country differences in years o f schooling in accounting for output per worker differences, raising the total c ontribution of education from 10% to 20% of output per worker differences. 11. Title: [untitled] Author(s): J. A. Kay Source: The Economic Journal, Vol. 87, No. 346 (Jun., 1977), pp. 300-311 Publisher(s): Wiley on behalf of the Royal Economic Society Stable URL: http://www.jstor.org/stable/2232089 12. Title: What Are Stock Investors' Actual Historical Returns? Evidence from Dolla r-Weighted Returns Author(s): Ilia D. Dichev Source: The American Economic Review, Vol. 97, No. 1 (Mar., 2007), pp. 386-401 Publisher(s): American Economic Association Stable URL: http://www.jstor.org/stable/30034399 Abstract: The existing literature typically does not differentiate between secur ity returns and the returns of investors in these securities. This study clarifi es that investor and security returns differ because of the timing and magnitude of investor capital flows into and out of these securities. The empirical resul ts indicate that actual investor returns are systematically lower than buy-and-h old returns for nearly all major international stock markets. These results impl y that the historical equity premium and the cost of equity capital are likely l ower than previously thought. 13. Title: The Emerging Market Crisis and Stock Market Linkages: Further Evidence Author(s): Jian Yang; Cheng Hsiao; Qi Li; Zijun Wang Source: Journal of Applied Econometrics, Vol. 21, No. 6 (Sep. - Oct., 2006), p p. 727-744 Publisher(s): Wiley Stable URL: http://www.jstor.org/stable/25146461 Abstract: This study examines the long-run price relationship and the dynamic pr ice transmission among the USA, Germany, and four major Eastern European emergin g stock markets, with particular attention to the impact of the 1998 Russian fin

ancial crisis. The results show that both the long-run price relationship and th e dynamic price transmission were strengthened among these markets after the cri sis. The influence of Germany became noticeable on all the Eastern European mark ets only after the crisis but not before the crisis. We also conduct a rolling g eneralized VAR analysis to confirm the robustness of the main findings. 14. Title: Does Innovation Cause Stock Market Runups? Evidence from the Great Crash Author(s): Tom Nicholas Source: The American Economic Review, Vol. 98, No. 4 (Sep., 2008), pp. 1370-13 96 Publisher(s): American Economic Association Stable URL: http://www.jstor.org/stable/29730126 Abstract: This article examines the stock market's changing valuation of corpora te patentable assets between 1910 and 1939. It shows that the value of knowledge capital increased significantly during the 1920s compared to the 1910s as inves tors responded to the quality of technological inventions. Innovation was an imp ortant driver of the late 1920s stock market runup, and the Great Crash did not reflect a significant revaluation of knowledge capital relative to physical capi tal. Although substantial quantities of influential patents were accumulated dur ing the post-crash recovery, high technology firms did not earn significant exce ss returns over low technology firms for most of the 1930s. 15. Title: Time Irreversibility and Egarch Effects in US Stock Index Returns Author(s): Yi-Ting Chen; Chung-Ming Kuan Source: Journal of Applied Econometrics, Vol. 17, No. 5, Special Issue: Modelli ng and Forecasting Financial Volatility (Sep. - Oct., 2002), pp. 565-578 Publisher(s): Wiley Stable URL: http://www.jstor.org/stable/4129272 Abstract: In this paper we suggest using a modified version of the time reversib ility (TR) test of Chen, Chou and Kuan (2000) as a complementary diagnostic test for time series models. The modified CCK test is easy to compute and requires w eaker moment conditions than existing tests. Our simulations demonstrate that th is test is powerful against asymmetry in volatility but the BDS test is not. In the empirical study of US stock index returns, we first find that these returns are all time irreversible. Applying the GARCH and EGARCH models to these returns , we also find that the Q and BDS tests always accept the null hypothesis and ca nnot distinguish between these models. By contrast, the modified CCK test accept s only the EGARCH model with an order that can accommodate the underlying asymme try in volatility. Our results suggest that the detected time irreversibility in these return series may be attributed to volatility asymmetry and that such asy mmetry may be captured using a proper EGARCH model. 16. Title: Stock Dividends and the New York Stock Exchange Author(s): Herbert C. Freeman Source: The American Economic Review, Vol. 21, No. 4 (Dec., 1931), pp. 658-671 Publisher(s): American Economic Association Stable URL: http://www.jstor.org/stable/496 Abstract: The New York Stock Exchange, in permitting stock dividends to be taken into income by recipient corporations at not more than the corresponding charge made against earnings or earned surplus by distributing companies, is entirely conservative. Mr. Hoxsey, executive assistant to the Committee on Stock List, in amplifying this to require that total book value per share at beginning of acco unting period be maintained after distribution of stoick dividend with respect t o earnings of the period, is not less, but more conservative. The arguments adva nced against the stock dividend principle are legalistic and invalid from the ec onomic viewpoint. True stock dividends are not merely appreciation of capital in terest. The time element involved in the accumlation of earnings applied to the

creation of a stock dividend cannot be disregarded. The proportionated ownership theory is not controlling in considering income in the economic sense. Earnings accumulated by a corporation may be applied to the creation of a new capital fu nd; such application and the distribution as a stock dividend of fully paid shar es in respect thereof result in realization of income by stockholders. 17. Title: Productivity Growth in the Industrial Revolution: A New Growth Accountin g Perspective Author(s): Nicholas Crafts Source: The Journal of Economic History, Vol. 64, No. 2 (Jun., 2004), pp. 521535 Publisher(s): Cambridge University Press on behalf of the Economic History Assoc iation Stable URL: http://www.jstor.org/stable/3874783 Abstract: The issue of why productivity growth during the British industrial rev olution was slow despite the arrival of famous inventions is revisited using a g rowth accounting methodology based on an embodied innovation model. The results highlight the relatively small and long-delayed impact of steam on productivity growth even when capital deepening is taken into account. Even so, technological change including embodiment effects accounted entirely for the acceleration in labor productivity growth that allowed the economy to achieve "modem economic gr owth." 18. Title: Does the Japanese Stock Market Price Bank-Risk? Evidence from Financial Firm Failures Author(s): Elijah Brewer III; Hesna Genay; William Curt Hunter; George G. Kaufm an Source: Journal of Money, Credit and Banking, Vol. 35, No. 4 (Aug., 2003), pp. 507-543 Publisher(s): Ohio State University Press Stable URL: http://www.jstor.org/stable/3649899 Abstract: The ability of the Japanese stock market to appropriately price the ri skiness of Japanese financial firms has been frequently questioned, particularly in light of Japan's widespread financial distress in recent years and poor disc losure requirements. This paper examines the response in equity returns of Japan ese banks to the failure of four commercial banks and two securities firms betwe en 1995 and 1998. Using event study methodology, the analysis finds that share p rices of surviving banks on the whole responded unfavorably to the failures and that financially weaker survivors were more adversely affected. This suggests th at, despite the distress and alleged opaqueness, bank shareholders were able to use available indicators of financial condition both to incorporate new informat ion quickly into stock prices and to differentiate among banks. 19. Title: Rule Britannia! British Stock Market Returns, 1825 1870 Author(s): Graeme G. Acheson; Charles R. Hickson; John D. Turner; Qing Ye Source: The Journal of Economic History, Vol. 69, No. 4 (DECEMBER 2009), pp. 1 107-1137 Publisher(s): Cambridge University Press on behalf of the Economic History Assoc iation Stable URL: http://www.jstor.org/stable/25654035 Abstract: This article presents a new series of monthly equity returns for the B ritish stock market for the period 1825 1870. In addition to calculating capital app reciation and dividend yields, the article also estimates the effect of survivor ship bias on returns. Three notable findings emerge from this study. First, stoc k market returns in the 1825 1870 period are broadly similar for Britain and the Uni ted States, although the British market is less risky. Second, real returns in t he 1825 1870 period are higher than in subsequent epochs of British history. Third,

unlike the modern era, dividends are the most important component of returns. 20. Title: FACTOR ANALYSIS OF PERMANENT AND TRANSITORY DYNAMICS OF THE US ECONOMY A ND THE STOCK MARKET Author(s): ZEYNEP SENYUZ Source: Journal of Applied Econometrics, Vol. 26, No. 6, Themes in Macroeconomi cs and Finance (September-October 2011), pp. 975-998 Publisher(s): Wiley Stable URL: http://www.jstor.org/stable/23018259 Abstract: We analyze dynamics of the permanent and transitory components of the US economic activity and the stock market obtained by multivariate dynamic facto r modeling. We capture asymmetries over the phases of economic and stock market trends and cycles using independent Markov-switching processes. We show that bot h output and stock prices contain significant transitory components, while consu mption and dividends are useful to identify their respective permanent component s. The extracted economic trend perfectly predicts all post-war recessions. Our results shed light on the nature of the bilateral predictability of the economy and the stock market. The transitory stock market component signals recessions w ith an average lead of one quarter, whereas the market trend is correlated with the economic trend with varying lead/lag times. 21. Title: Capital Structure and Stock Returns Author(s): IvoWelch Source: Journal of Political Economy, Vol. 112, No. 1 (February 2004), pp. 106 -132 Publisher(s): The University of Chicago Press Stable URL: http://www.jstor.org/stable/10.1086/379933 Abstract: U.S. corporations do not issue and repurchase debt and equity to count eract the mechanistic effects of stock returns on their debt equity ratios. Thus ove r one to five year horizons, stock returns can explain about 40 percent of debt ratio d ynamics. Although corporate net issuing activity is lively and although it can e xplain 60 percent of debt ratio dynamics (long term debt issuing activity being most capital structure relevant), corporate issuing motives remain largely a mystery. Wh en stock returns are accounted for, many other proxies used in the literature pl ay a much lesser role in explaining capital structure. 22. Title: Status of Coperative Live Stock Marketing in Missouri Author(s): Ralph Loomis Source: Journal of Farm Economics, Vol. 3, No. 3 (Jul., 1921), pp. 142-145 Publisher(s): Oxford University Press on behalf of the Agricultural & Applied Ec onomics Association Stable URL: http://www.jstor.org/stable/3180166 23. Title: The Trouble with Stock Options Author(s): Brian J. Hall; Kevin J. Murphy Source: The Journal of Economic Perspectives, Vol. 17, No. 3 (Summer, 2003), p p. 49-70 Publisher(s): American Economic Association Stable URL: http://www.jstor.org/stable/3216822 24. Title: Stock Dividends, Investment Trusts, and the Exchange Author(s): A. C. Whitaker Source: The American Economic Review, Vol. 21, No. 2 (Jun., 1931), pp. 275-280 Publisher(s): American Economic Association Stable URL: http://www.jstor.org/stable/1827874

Abstract: The New York Stock Exchange at present permits holding companies and i nvestment trusts on its list, to treat as income any stock dividends they may re ceive, provided the dividend-paying company covers the issue by conversion of ea rned surplus into capital in its balance sheet. J. M. B. Hoxsey, Executive Assis tant to the Committee on Stock List, New York Stock Exchange, argues that at lea st small periodical stock dividends based on current earnings and properly capit alized are income. The error in his argument lies in the assumption that a new i nterest is created by a stock dividend. As for the question whether an appreciat ion of a capital interest is income to the holder of that interest, the answer i s wholly unaffected by the issuance or non-issuance of a stock dividend. If the Exchange and its public think stock dividends are income, they are deceiving the mselves. 25. Title: Inflation and the Capital Stock Author(s): Mark Crosby; Glenn Otto Source: Journal of Money, Credit and Banking, Vol. 32, No. 2 (May, 2000), pp. 236-253 Publisher(s): Ohio State University Press Stable URL: http://www.jstor.org/stable/2601241 Abstract: There is a long literature examining the theoretical relationship betw een the rate of inflation and the size of the capital stock in an economy. This literature has produced varied predictions about the effects of inflation on the capital stock. In this paper we present some time series evidence on this issue . We estimate a structural VAR model for thirty-four countries and discover that for the majority of these countries there is no statistically significant longrun effect of inflation on the capital stock. Moreover, for countries where a si gnificant effect is found, the long-run coefficient estimate is typically positi ve. Overall our empirical results support the view that the long-run level of th e capital stock is invariant to permanent changes in the inflation rate. ------------------------------------------------------------------------These records have been provided through JSTOR (http://www.jstor.org). If you have any questions or need assistance using JSTOR, please contact JSTOR S upport (http://www.jstor.org/action/showContactSupportForm) and let us know how we can help you. For more information about JSTOR, please visit http://about.jstor.org/ If you need additional assistance, please do not hesitate to contact JSTOR Suppo rt (http://www.jstor.org/action/showContactSupportForm). JSTOR Support support@jstor.org (888) 388-3574 JSTOR is part of ITHAKA, a not-for-profit organization helping the academic comm unity use digital technologies to preserve the scholarly record and to advance r esearch and teaching in sustainable ways. Terms and Conditions (http://www.jstor.org/page/info/about/policies/terms.jsp) | Privacy Policy (http://www.jstor.org/page/info/about/policies/privacy.jsp) | Cookies (http://about.jstor.org/cookies-use) | Accessibility (http://www.jstor. org/page/info/about/policies/accessibility.jsp) (c)2000-2012 ITHAKA. All Rights Reserved. JSTOR(r), the JSTOR logo, and ITHAKA(r ) are registered trademarks of ITHAKA.