### Table IV Abnormal Long-run Performance

2000

Cited by 2

### Table 6: Predictability of Stock Returns: Long-Run Regression on Price/Dividend Ratio

2005

Cited by 7

### Table 1: Long Run Trends for the Interest Rate Indicators

2002

"... In PAGE 13: ... Hence, comparing the pre-1930 period to the post-war period suggests that capital bears all of the burden of capital income taxes! Making comparisons over such a long time period is dangerous, and the data I have is probably inappropriate for such a comparison, but hopefully future research can produce improved estimates of rental rates pre-1929. Table1 displays some other interest rate measures that permit cross-checking of this interpretation. If capital bears all of the burden of the corporate income tax, then consumption growth and stock returns should be lower post-war with the amount of the reduction commensurate with the increased rate of capital taxation.... In PAGE 18: ... Columns (6) and (7) tell us something about the effects of deviations of my measured tax rate from the statutory tax rates. MTR is the marginal tax rate derived from the statutory tax prices calculated by Cummins et al (1994, Table1 ) for manufacturing equipment and structures (and averaged across asset types weighting by the net stock of those assets). Column (6) replicates column (1) for the years 1954-89 when the Cummins et al measure is available, and reports a coefficient on the tax share term of -0.... In PAGE 24: ...14, lines 2 and 9 (1929-). As shares of national income, employee compensation and proprietors apos; income are reported by Johnson (1954, Table1 ) at 5 year intervals prior to 1929; I linearly interpolate in between years. population aged 15+ Calculated as the product of total population and the fraction of the population that is aged 15+.... ..."

### Table 1a Descriptive Statistics: Estimation of the Real Interest Rate in Great Britain from the Long-Run Yield

1997

"... In PAGE 13: ... To determine the real interest rate, a weight is assigned to the gap observed between the price level and the standard of value, as well as a weight to the current inflation rate. The results of the exercise are presented in Figures 2a and 2b and in Table1 a. For the pre-Napoleonic period, the real interest rate shows a standard deviation of 1.... In PAGE 17: ... Part of the MRIS adjustment follows from the impact on the real interest rate of expectations that the price level would return towards its standard of value. For comparison purposes, estimates of the expected real interest rate in Canada for the inflationary period 1952-94 are shown in Table1 b. During that period, the price level is not stationary and the real interest rate is estimated on the basis of an equation like (1).... ..."

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### Table 1b Descriptive Statistics: Estimation of the Real Interest Rate in Canada from the Long-Run Yield

1997

"... In PAGE 13: ... To determine the real interest rate, a weight is assigned to the gap observed between the price level and the standard of value, as well as a weight to the current inflation rate. The results of the exercise are presented in Figures 2a and 2b and in Table1 a. For the pre-Napoleonic period, the real interest rate shows a standard deviation of 1.... In PAGE 17: ... Part of the MRIS adjustment follows from the impact on the real interest rate of expectations that the price level would return towards its standard of value. For comparison purposes, estimates of the expected real interest rate in Canada for the inflationary period 1952-94 are shown in Table1 b. During that period, the price level is not stationary and the real interest rate is estimated on the basis of an equation like (1).... ..."

Cited by 1

### Table 1a Descriptive Statistics: Estimation of the Real Interest Rate in Great Britain from the Long-Run Yield

1997

"... In PAGE 13: ... To determine the real interest rate, a weight is assigned to the gap observed between the price level and the standard of value, as well as a weight to the current inflation rate. The results of the exercise are presented in Figures 2a and 2b and in Table1 a. For the pre-Napoleonic period, the real interest rate shows a standard deviation of 1.... In PAGE 17: ... Part of the MRIS adjustment follows from the impact on the real interest rate of expectations that the price level would return towards its standard of value. For comparison purposes, estimates of the expected real interest rate in Canada for the inflationary period 1952-94 are shown in Table1 b. During that period, the price level is not stationary and the real interest rate is estimated on the basis of an equation like (1).... ..."

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### Table 1b Descriptive Statistics: Estimation of the Real Interest Rate in Canada from the Long-Run Yield

1997

Cited by 1

### Table 5. Long-Run Relationship between Net Foreign Assets and Measures of Risk and Return (III): Indices based on Stock Returns - Dependent variable: ratio of net foreign assets to wealth (NFA/W) - Estimation method: Pooled Mean Group estimator (Pesaran, Shin and Smith 1999), controlling for country and time effects. - Samples: All countries and groups formed on the basis of income levels and capital controls - Period: 1966-97

2001

"... In PAGE 19: ... Tables 3-5 present the estimates of the long-run coefficients for different groups of countries. In Table 3 we use the composite indices of risk and return, in Table 4 we use the indices based on the growth rate of GDP per capita, and in Table5 we use the indices derived from stock-market returns. In all cases, the results are broadly supportive of the empirical specification when the model is estimated on the high-income and/or low-capital-control samples.... ..."

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### Table 5 Time-series estimation of the relation between SEO long-run abnormal returns and interest rates at the time of SEO Time -series regression results with 4th-order residual correlation. The 312 monthly observations between 1970 to 1995 are weighted by the square root of the number of offerings in the respective month. The 10 months without any offerings receive no weight in the regression. The dependent variable is the mean 36- month abnormal return for all SEOs for the respective month. Interest rate is the annualized 30-day Treasury Bill yield. Dividend yield is the mean dividend yield for all SEOs for the respective month. Aggregate SEO Volume is total dollar amount of primary seasoned equity offered over months t-2 to t divided by the total market capitalization of all CRSP-listed stocks. January is an indicator variable with value of 1 for January and 0 for other months. T-statistics are in parentheses. * and ** denote rejection of the null hypothesis at the 5 percent and 1 percent level, respectively.

"... In PAGE 18: ... Four observations are deleted from the time- series since no offerings occur during these months. The time-series results are presented in Table5 . For all three abnormal return measures and all specifications, the slope coefficient on interest rates is negative, implying that a one- percentage point increase in annual interest rates is associated with SEO 3 year performance that is roughly between 1% and 3% worse.... ..."

### Table 8: Long-run Supply Elasticities

1997

"... In PAGE 25: ... The long-run #28steady state#29 supply elasticity estimates are obtained bymultiplying all elasticity estimates on the RHS of Equation 6 with each other. Table8 presents two long- run supply elasticities for each country based on the sample means and the mean values for 1987-90. Both elasticities are presented to emphasize that the size of the sector as measured by the total planted area determines the size of the long-run supply response.... ..."

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