NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by John Griffin

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Working Papers

May 2011Racial Differences in Inequality Aversion: Evidence from Real World Respondents in the Ultimatum Game
with David Nickerson, Abigail K. Wozniak: w17097
The distinct historical and cultural experiences of American blacks and whites may influence whether members of those groups perceive a particular exchange as fair. We investigate racial differences in fairness standards using preferences for equal treatment in the ultimatum game, where responders choose to allow a proposed division of a monetary amount or to block it. Although previous research has studied group differences in the ultimatum game, no study has been able to examine these across races in America. We use a sample of over 1600 blacks and whites drawn from the universe of registered voters in three states and merged with information on neighborhood income and racial composition. We experimentally vary proposed divisions as well as the implied race of the ultimatum game propos...

Published: Griffin, John & Nickerson, David & Wozniak, Abigail, 2012. "Racial differences in inequality aversion: Evidence from real world respondents in the ultimatum game," Journal of Economic Behavior & Organization, Elsevier, vol. 84(2), pages 600-617. citation courtesy of

September 2004Stock Market Trading and Market Conditions
with Federico Nardari, Rene M. Stulz: w10719
This paper investigates the dynamic relation between market-wide trading activity and returns in 46 markets. Many stock markets exhibit a strong positive relation between turnover and past returns. These findings stand up in the face of various controls for volatility, alternative definitions for turnover, and differing sample periods, and are present at both the weekly and daily frequency. However, the magnitude of this relation varies widely across markets. Several competing explanations are examined by linking cross-country variables to the magnitude of the relation. The relation between returns and turnover is stronger in countries with restrictions on short sales and where stocks are highly cross-correlated; it is also stronger among individual investors than among foreign or institut...
June 2002Daily Cross-Border Equity Flows: Pushed or Pulled?
with Federico Nardari, Rene M. Stulz: w9000
In a model that is consistent with the existence of a home bias and with foreign investors that are less informed than domestic investors, we show that unexpectedly high worldwide returns lead to net equity inflows into small countries. In addition, a small country experiences net equity inflows when its stocks earn unexpectedly high returns. We investigate these predictions using daily data on net equity flows for nine emerging market countries and find that equity flows are positively related to host country stock returns as well as market performance abroad. Both our theoretical model and our empirical analysis show that global stock return performance is an important factor in understanding equity flows.

Published: Nardari, Federico, John Griffin, and Rene M. Stulz. "Daily Cross-Border Flows: Pushed or Pulled?" Review of Economics and Statistics 86, 3 (2004): 641-657.

October 1997International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns
with Rene M. Stulz: w6243
It is widely accepted that, for some industries, competition across countries is" economically important and that this competition is strongly affected by exchange rate changes." This paper explores the validity of this view using weekly stock return data on 320 industry pairs" in six countries from 1975 to 1997. It is found that common shocks to industries across countries" are more important than competitive shocks. Weekly exchange rate shocks explain almost" nothing of the relative performance of industries. Using returns measured over longer horizons the importance of exchange rate shocks increases slightly and the importance of common shocks" to industries increases more substantially. Both industry and exchange rate shocks are more" important for industries that produce goods tra...

Published: Griffin, J. M. and R. M. Stulz. "International Competition And Exchange Rate Shocks: A Cross-Country Industry Analysis Of Stock Returns," Review of Financial Studies, 2001, v14(1,Spring), 215-241. citation courtesy of

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