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By Ruey S. Tsay

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Extra info for Analysis of Financial Time Series (Wiley Series in Probability and Statistics - Applied Probability and Statistics Section Series)

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This is unproven, and is not very likely. First, if the capital market is efficient, prices of capital assets should reflect long-term prospects as well as short-term dividend payments and institutions should be indifferent between capital appreciation and dividends of like amount. Secondly, institutions control very diversified portfolios of shares, and so face smaller risks with their portfolios than those facing individual joint-stock companies they partly own. They should therefore favour greater risks associated with long-term projects than may be the case within individual companies.

Government regulations and subsidies may require legal definitions of industries. Statistics are collected on the basis of the Standard Industrial Classification. Definitions are usually in terms of common technology or know-how. This is the procedure of the Standard Industrial Classification which groups firms according to common raw materials used, such as wool or iron and steel, by common processes, such as brewing, and by products with related methods of manufacture, such as wooden furniture.

Strategic decisions, such as the disposition of investment funds between different enterprises or the promotion and reward of top managers, encompass the widest administrative domains. A firm in such a context may be a huge multinational, such as Unilever, regarded as a single entity despite its geographical spread, its headquarters divided between London and The Hague, and its multiplicity of processes and products. When analysing the output and price of a single product, such an all-embracing concept would be inappropriate.

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