Effects on school enrollment and performance of a conditional transfers program in Mexico

We study the effects of a conditional transfers program on school enrollment and performance in Mexico. We provide a theoretical framework for analyzing the dynamic educational decision and process inc1uding the endogeneity and uncertainty of performance (passing grades) and the effect of a conditional cash transfer program for children enrolled at school. Careful identification of the program impact on this model is studied. This framework is used to study the Mexican social program Progresa in which a randomized experiment has been implemented and allows us to identify the effect of the conditional cash transfer program on enrollment and performance at school. Using the mIes of the conditional program, we can explain the different incentive effects provided. We also derive the formal identifying assumptions needed to provide consistent estimates of the average treatment effects on enrollment and performance at school. We estimate empirically these effects and find that Progresa had always a positive impact on school continuation whereas for performance it had a positive impact at primary school but a negative one at secondary school, a possible consequence of disincentives due to the program termination after the third year of secondary school.

Conditional alphas and realized betas

This paper proposes a two-step procedure to back out the conditional alpha of a given stock using high-frequency data. We rst estimate the realized factor loadings of the stocks, and then retrieve their conditional alphas by estimating the conditional expectation of their risk-adjusted returns. We start with the underlying continuous-time stochastic process that governs the dynamics of every stock price and then derive the conditions under which we may consistently estimate the daily factor loadings and the resulting conditional alphas. We also contribute empiri-cally to the conditional CAPM literature by examining the main drivers of the conditional alphas of the S&P 100 index constituents from January 2001 to December 2008. In addition, to con rm whether these conditional alphas indeed relate to pricing errors, we assess the performance of both cross-sectional and time-series momentum strategies based on the conditional alpha estimates. The ndings are very promising in that these strategies not only seem to perform pretty well both in absolute and relative terms, but also exhibit virtually no systematic exposure to the usual risk factors (namely, market, size, value and momentum portfolios).