nep-fmk New Economics Papers
on Financial Markets
Issue of 2006‒02‒19
fifty-four papers chosen by
Carolina Valiente
London South Bank University

  1. Monitoring Costs and Multinational-Bank Lending By Ralph de Haas
  2. Access to finance by Chilean corporations By Sirtaine, Sophie
  3. Industries and the Bank Lending Effects of Bank Credit Demand and Monetary Policy in Germany By Raabe Katharina; Arnold Ivo J.M.; Kool Clemens J.M.
  4. Simulating Stock Returns under switching regimes - a new test of market efficiency By Meenagh, David; Minford, Patrick; Peel, David
  5. Capital Account Controls, Bank’s Efficiency, Growth and Macroeconomic Volatility in the FLAR’s Member Countries? By Humberto Mora; Hernán Rincón
  6. Profitability of Foreign and Domestic Banks in Central and Eastern Europe : Does the Mode of Entry Matter? By Olena Havrylchyk; Emilia Jurzyk
  7. Economies through transparency By Emiliano Grossman; Emilio Luque; Fabian Muniesa
  8. Probability of Bank Failure: The Russian Case By Konstandina Natalia
  10. Diagnosing Discrimination: Stock Returns and CEO Gender By Wolfers, Justin
  11. Effectiveness of Credit Guarantees in the Japanese Loan Market By Iichiro Uesugi; Koji Sakai; Guy M. Yamashiro
  13. Individual Risk Attitudes: New Evidence from a Large, Representative, Experimentally-Validated Survey By Dohmen, Thomas J; Falk, Armin; Huffman, David; Schupp, Jürgen; Sunde, Uwe; Wagner, Gert Georg
  15. Independence Day for the “Old Lady”: A Natural Experiment on the Implications of Central Bank Independence By Jagjit S. Chadha; Peter Macmillan; Charles Nolan
  16. India's Public Finances: Excessive Budget Deficits, a Government-Abused Financial System and Fiscal Rules By Buiter, Willem H; Patel, Urjit R.
  17. Does Central Bank Transparency Reduce Interest Rates? By Petra M. Geraats; Sylvester C.W. Eijffinnger; Carin A.B. van der Cruijsen
  20. Prices and Portfolio Choices in Financial Markets: Theory and Experiments By Peter Bossaerts; Charles Plott; William R. Zame
  22. Hedging Effectiveness in the Index Futures Market By Copeland, Laurence; Zhu, Yanhui
  23. Five Open Questions About Prediction Markets By Justin Wolfers; Eric Zitzewitz
  24. Self-Fulfilling Currency Crises: The Role of Interest Rates (March 2005, joint with Arijit Mukherji, Minnesota, and Aleh Tsyvinski, UCLA) By Christian Hellwig
  25. Arbitrage Bounds and the Time Series Properties of the Discount on UK Closed-End Mutual Funds By Copeland, Laurence
  26. Asset Trading Volume in Infinite-Horizon Economies with Dynamically Complete Markets and Heterogeneous Agents: Comment By Peter Bossaerts; William R. Zame
  28. Markets: The Fulton Fish Market By Graddy, Kathryn
  30. What Do We Know about the Capital Structure of Small Firms? By Karin Joeveer
  31. Does Money Matter in the ECB Strategy? New Evidence Based on ECB Communication By Helge Berger; Jakob de Haan; Jan-Egbert Sturm
  33. Trade Marks and Market Value in UK Firms By Christine Greenhalgh; Mark Rogers
  34. Rural Credit in Vietnam By Mikkel Barslund; Finn Tarp
  35. The impact of explicit deposit insurance on market discipline By Ioannidou,Vasso P.; Dreu,Jan de
  36. Non-Linear Target Adjustment in Corporate Liquidity Mmanagement: An Endogenous Thresholds Approach By W. Allard Bruinshoofd; Clemens J. M. Kool
  37. Chomage et reformes du marche du travail au Japon By Evelyne Dourille-Feer
  38. Market Liquidity, Investor Participation and Managerial Autonomy: Why Do Firms Go Private? By Boot, Arnoud W A; Gopalan, Radhakrishnan; Thakor, Anjan
  39. Risk and Wealth in a Model of Self-Fulfilling Currency Attacks By Bernardo Guimaraes; Stephen Morris
  40. Should Monetary Policy use Long-term Rates? By Mariano Kulish
  41. Moral Hazard and the Demand for Health Services: A Matching Estimator Approach By de Galdeano, Anna Sanz; Machado, Matilde; Pita Barros, Pedro Luis
  42. ENDEUDAMIENTO A CORTO PLAZO EN LAS PYMES ESPAÑOLAS By Pedro J. García Teruel; Pedro Martínez Solano
  43. Informational Herding and Optimal Experimentation By Lones Smith; Peter Norman Sorensen
  45. Crédits aux particuliers - Analyse des données de la Centrale des Crédits aux Particuliers By Helga De Doncker
  46. L'art de l'analyse du risque-pays : Etude empirique dans les pays émergents By Faouzi Boujedra
  47. La concurrence imparfaite entre les intermédiaires financiers est-elle toujours néfaste à la croissance économique ? By Jean-Bernard Chatelain; Bruno Amable
  48. Predicting Bubbles and Bubbles-Substitutes By Earl A. Thompson; Jonathan Treussard; Charles R. Hickson
  49. Levels of voluntary disclosure in IPO prospectuses: an empirical analysis By Cazavan-Jeny , Anne; Jeanjean, Thomas
  52. SPURIOUS AND HIDDEN VOLATILITY By M. Angeles Carnero; Daniel Peña; Esther Ruiz
  53. Learning from the Expectations of Others By Jim Granato; Eran Guse; M.C. Sunny Wong
  54. Knowing What Others Know: Coordination Motives in Information Acquisition (October 2005, joint with Laura Veldkamp, NYU) By Christian Hellwig

  1. By: Ralph de Haas
    Abstract: We use a two-country model to examine how endogenous changes in monitoring intensity and exogenous changes in monitoring efficiency affect multinational-bank lending. First, an endogenous decline in monitoring intensity limits the amount of deposits that banks can attract. This lowers bank lending. Shocks that reduce bank capital relative to firm capital therefore have a stronger negative effect on bank lending compared to a model with exogenous monitoring intensity. Second, international differences in monitoring efficiency create a lending bias towards the country where monitoring is performed most efficiently. Multinational-bank subsidiaries that monitor efficiently attract more deposits and lend more than less efficient subsidiaries.
    Keywords: multinational banks; monitoring; credit supply.
    JEL: F15 F23 F36 G21
    Date: 2006–02
  2. By: Sirtaine, Sophie
    Abstract: The author assesses the extent to which Chilean firms have access to sufficient and adequate sources of funds. Access to finance has become an important issue for policymakers in Latin America. Small and medium enterprises (SMEs), in particular, complain that their lack of access to adequate sources of financing is an obstacle to their growth. Chile represents an interesting case study since it has one of the most developed financial markets in the continent, and thus great potential for using products suited to the needs and risk characteristics of SMEs. The author concludes that the largest firms have access to the whole range of financial instruments available in Chile. All smaller firms face financing constraints. She then analyzes the obstacles to downsizing access to the capital market and further increasing the penetration of banks in smaller segments.
    Keywords: Banks & Banking Reform,Investment and Investment Climate,Microfinance,Small Scale Enterprise,Economic Theory & Research
    Date: 2006–02–01
  3. By: Raabe Katharina; Arnold Ivo J.M.; Kool Clemens J.M. (METEOR)
    Abstract: This paper presents evidence on the industry effects of bank lending in Germany and asks whether bank lending to single industries depends on industry-specific bank credit demand or on monetary policy as determinant of bank credit supply. To this end, we estimate individual bank lending functions for 17 manufacturing and non-manufacturing industries and five banking groups using quarterly bank balance sheet and bank lending data for the period 1992:1-2002:4. The evidence from dynamic panel data models illustrates that industry bank lending responds more to changes in industry-specific bank credit demand than to changes in monetary policy. We report evidence in favor of a credit channel through bank lending, but find the bank lending effects of monetary policy to be very sensitive to the choice of industry. The empirical results, hence, lend strong support to the existence of industry effects of bank lending. In view of this finding, we conclude that bank lending growth and monetary policy effectiveness crucially depend on the industry composition of bank credit portfolios.
    Keywords: monetary economics ;
    Date: 2006
  4. By: Meenagh, David (Cardiff Business School); Minford, Patrick (Cardiff Business School); Peel, David
    Abstract: A model of profits switches between four regimes with fixed probabilities; the rationally expected profits stream implies the stock market value. This efficient market model is not rejected by UK post-war time-series behaviour of either profits or the FTSE index.
    Keywords: regime switching; stock returns; efficient markets; rational expectations
    JEL: C15 C5 G14
    Date: 2006–02
  5. By: Humberto Mora; Hernán Rincón
    Abstract: This paper evaluates the effects of capital account controls adopted in the past years by the FLAR’s member countries (Bolivia, Colombia, Costa Rica, Ecuador, Perú and Venezuela) on the efficiency of the banking sector, the economic growth and the volatility of output, consumption, and investment. The findings on efficiency show that the degree of the monopoly power in the loans and deposits markets are positively correlated with capital controls. The findings also indicate that, in general, capital controls neither reduce growth nor reduce macroeconomic volatility. On the contrary, and as it is expected, the capital account openness promotes growth.
    Keywords: Capital account controls; Efficiency of the banking sector; Economic growth; Macroeconomic volatility; SUR; Cointegration; Arellano and Bond estimator; Instrumental variables
    JEL: F32 F33 F36 F41 G14 G18 G21 C51 C52
  6. By: Olena Havrylchyk; Emilia Jurzyk
    Abstract: Using data for 265 banks in Central and Eastern European Countries for the period of 1995-2003, this paper analyses the differences in profitability between domestic and foreign banks. We show that foreign banks, especially greenfield institutions, earn higher profits than domestic banks. However, this effect is acquired, rather than inherited, since there is evidence that foreign banks tend to take over less profitable institutions. Profits of foreign banks in the CEEC also exceed profits of their parent banks, explaining the reasons for their entry. Further, we study benefits and costs of foreign ownership by analyzing determinants of profitability for domestic, takeover, and greenfield banks. Profits of foreign banks are less affected by macroeconomic conditions in their host countries. However, greenfield banks are sensitive to the situation at their parent banks. Only domestic banks enjoy higher profits in more concentrated banking markets, whereas takeover bans suffer from diseconomies of scale due to the fact that they acquired large institutions.
    Keywords: Banking system; competition; FDI; financial markets; transition economies
    JEL: G15 G21 F36
    Date: 2005–12
  7. By: Emiliano Grossman (CEVIPOF); Emilio Luque (UNED); Fabian Muniesa (Centre de Sociologie de l'Innovation, Ecole des Mines de Paris)
    Abstract: Analyses the ambiguity of a number of transparency-making devices in economic and financial life.
    Keywords: Transparency, economic sociology, governmentality, stock exchange, pension funds, European Union
    JEL: Z13 P16 G14 M14
    Date: 2006–01
  8. By: Konstandina Natalia
    Abstract: A question of explaining bank failures constitutes perhaps one of the greatest interest to banks' clients, policy-makers and regulators. Not surprisingly, for a long time, this question has been a challenge for theoretical and empirical economists. In this paper we investigate which factors affect soundness of a bank, taking into consideration micro level data, as well as macro level component. We also employ efficiency estimate, obtained with the help of DEA, to account for the quality of management. Then we use logit model and proportional hazard model with efficiency component. We find that efficiency element, together with size and regional belonging, are highly significant in all specifications, while macro variables did not seem to influence failures significantly.
    Keywords: Russia, Russian banking, failures, efficiency
    JEL: G21 G33 L25
    Date: 2006–02–13
  9. By: Juan A. Lafuente (Universitat Jaume I); Manuel Illueca Muñoz (Universitat Jaume I)
    Abstract: In November 2001, the Spanish Official Exchange for Financial Futures and options launched the mini IBEX-35 futures contract. Following the seminal paper of Bessembider and Seguin (1992), this paper analyzes the effects of the introduction of the mini-futures contract in the Spanish stock index futures market. The objective of the paper is twofold: a) to analyze the potential destabilizing effect of the mini futures trading activity on the distribution of spot returns, and b) to test whether the mini futures contract significantly contributes to the price discovery process. A non-parametric approach is used to estimate the density function of spot return conditional to both spot and futures trading volume. Empirical findings using 15-minutes intraday data reveals that the mini futures trading activity enhances the price discovery function of the derivative market and does not destabilize spot prices. En Noviembre de 2001, el Mercado Oficial de Futuros y Opciones Financierosen España introdujo el contrato de futuros mini sobre el Ibex 35. En la línea del trabajode Bessembinder y Seguin (1992), este trabajo analiza el efecto de la introducción dedicho contrato sobre el mercado de contado. En particular, hay dos objetivosfundamentales en el trabajo: a) analizar la potencial desestabilización de la actividadnegociadora del mercado de derivados sobre el mercado de contado, y b) estudiar lacontribución del nuevo contrato al proceso de formación de precios del mercado decontado. Para ello, se procede a la estimación no paramétrica de la función de densidadde la rentabilidad del contado, condicional al volumen de negociación tanto el mercadode contado como de futuros. Los resultados empíricos a partir de datos intradía cada15 minutos revelan no solo que el nuevo contrato no tiende a desestabilizar el mercadode contado, sino que además contribuye de forma significativa al proceso de formaciónde precios en el mismo.
    Keywords: Futuros mini, price discovery, desestabilización Ibex 35 Mini-futures, price discovery, destabilization, Ibex 35
    Date: 2004–05
  10. By: Wolfers, Justin
    Abstract: A vast labour literature has found evidence of a 'glass ceiling', whereby women are under-represented among senior management. A key question remains the extent to which this reflects unobserved differences in productivity, preferences, prejudice, or systematically biased beliefs about the ability of female managers. Disentangling these theories would require data on productivity, on the preferences of those who interact with managers, and on perceptions of productivity. Financial markets provide continuous measures of the market’s perception of the value of firms, taking account of the beliefs of market participants about the ability of the men and women in senior management. As such, financial data hold the promise of potentially providing insight into the presence of mistake-based discrimination. Specifically if female-headed firms were systematically under-estimated, this would suggest that female-headed firms would outperform expectations, yielding excess returns. Examining data on S&P 1500 firms over the period 1992-2004 I find no systematic differences in returns to holding stock in female-headed firms, although this result reflects the weak statistical power of our test, rather than a strong inference that financial markets either do or do not under-estimate female CEOs.
    Keywords: CEO pay; CEOs; chief executive officer; discrimination; event study; excess returns; female CEOs; statistical discrimination
    JEL: G14 G3 J16 J4 J7 K31 M5
    Date: 2006–02
  11. By: Iichiro Uesugi; Koji Sakai; Guy M. Yamashiro
    Abstract: From 1998-2001, the Japanese government, in an effort to stimulate the flow of funds to the small business sector, implemented a massive credit guarantee program that was unprecedented in both scale and scope. Because the program was accessible by nearly every small firm we are able to clearly identify the policy effect. The program, therefore, presents a unique opportunity to determine if government intervention can improve the efficiency of credit allocation among bank-dependent small businesses. Utilizing a new panel data set of Japanese firms, which covers the implementation period of the program, we empirically test the theoretical predictions of Mankiw's (1986) adverse selection model. The model of credit markets under asymmetric information allows us to investigate whether government credit programs do more to stimulate small business investment, or serve to worsen the adverse selection problems prevalent in credit markets. We find evidence consistent with the former hypothesis. Specifically, we find that (1) program participants significantly increase their leverage, especially their use of long-term loans, and (2) with the exception of high-risk firms, become more efficient.
    Date: 2006–04
  12. By: Belén Nieto (Universidad de Alicante); Germán López Espinosa (Universidad de Navarra); Joaquín Marhuenda (Universidad de Alicante)
    Abstract: The aim of this paper consists on seeing whether the information differential affects tothe stocks return in the Spanish market. Usually the firm attention by financial analysts,expressed by de number of earnings estimations, has been used as a proxy of the differentialinformation. Nevertheless, in this paper we use a different point of view based in the approachof Hong, Lim and Stein (2000). In particular, given the close relation between the firm size andthe analysts’ number following the firm, we use residual from the regression of the number onanalysts following a firm on size as a proxy of the information differential. The results show,firstly, that the CAPM cannot explain the return difference among portfolios constructed by theresidual coverage level. With this evidence, the next step is to explain how the informationdifferential can affect the stock return level. El objetivo de este trabajo consiste en comprobar si, en el ámbito del mercado español, la existencia de información diferencial afecta al nivel de rentabilidad de los títulos. En muchos trabajos es práctica habitual emplear como proxy del diferencial de información el grado de seguimiento de las empresas por parte de los analistas financieros, medido éste por el número de estimaciones anuales de beneficios que emiten. Sin embargo, en este trabajo se sigue un enfoque diferente basado en el planteamiento propuesto por Hong, Lim y Stein (2000). En particular, dada la estrecha relación existente entre el número de analistas que siguen a una empresa y el tamaño de ésta, se utiliza como proxy del diferencial de información la cobertura residual por parte de los analistas que se obtiene como residuo de la regresión entre el número de analistas que siguen a una empresa y su tamaño. La evidencia obtenida, en un primer momento, indica que el CAPM no es capaz de explicar las diferencias de rentabilidad observadas entre las carteras construidas por el nivel de cobertura residual. Tras obtener este resultado, el siguiente paso consiste en explicar la forma en que el diferencial de información afecta al nivel de rentabilidad.
    Keywords: IBES, analistas financieros, diferencial de información, cobertura residual IBES, financial analysts, information differential, residual coverage.
    Date: 2004–04
  13. By: Dohmen, Thomas J; Falk, Armin; Huffman, David; Schupp, Jürgen; Sunde, Uwe; Wagner, Gert Georg
    Abstract: This paper presents new evidence on the distribution of risk attitudes in the population, using a novel set of survey questions and a representative sample of roughly 22,000 individuals living in Germany. Using a question that asks about willingness to take risks in general, on an 11-point scale, we find evidence of heterogeneity across individuals, and show that willingness to take risks is negatively related to age and being female, and positively related to height and parental education. We test the behavioral relevance of this survey measure by conducting a complementary field experiment, based on a representative sample of 450 subjects, and find that the general risk question is a good predictor of actual risk-taking behavior. We then use a more standard lottery question to measure risk preferences in our sample of 22,000, and find similar results regarding heterogeneity and determinants of risk preferences, compared to the general risk question. The lottery question also makes it possible to estimate the coefficient of relative risk aversion for each individual in the sample. Using five questions about willingness to take risks in specific domains - car driving, financial matters, sports and leisure, career, and health - the paper also studies the impact of context on risk attitudes, finding a strong but imperfect correlation across contexts. Using data on a collection of risky behaviors from different contexts, including traffic offences, portfolio choice, smoking, occupational choice, participation in sports, and migration, the paper compares the predictive power of all of the risk measures. Strikingly, the general risk question predicts all behaviors whereas the standard lottery measure does not. The best predictor for any specific behavior is typically the corresponding context-specific measure.
    Keywords: age; context; experimental validation; field experiment; gender differences; health; height; migration; occupational choice; risk preferences; SOEP; subjective well-being
    JEL: C91 C93 D0 D1 D80 D81 I1 J16 J24 J61
    Date: 2006–02
  14. By: Roberto Montero (Universidad de Granada); José Jesús Martín (Universidad de Granada); Juan de Dios Jiménez (Universidad de Granada)
    Abstract: The new Spanish autonomous communities (AACC) financing system deepensin stability, co-responsibility and financial integration concepts. The resources that itdistributes are bigger than 90% of the total of the AACC consolidated budgets. Thisdocument approach the new system's configuration, it also confronts and it quantifies itsmechanisms of assignment of resources. Finally the new system costs of transaction andthe definitive costs of the health politics transfers are evaluated. El nuevo sistema de financiación autonómica profundiza en conceptos como estabilidad, responsabilidad e integración financiera. Los recursos que distribuye suponen casi el 90% del total de presupuestos consolidados de las CCAA de régimen común. El presente documento realiza una aproximación a la configuración del nuevo modelo, también afronta y cuantifica sus mecanismos de asignación de recursos. Finalmente se evalúan los costes de transacción del nuevo modelo y los costes definitivos de las transferencias sanitarias.
    Keywords: Sistema de financiación; Descentralización; Presupuestos local y estatal Financing system; decentralization, State and local budget
    JEL: H11 H51 H52 H54 H61 H72
    Date: 2004–03
  15. By: Jagjit S. Chadha; Peter Macmillan; Charles Nolan
    Abstract: Central bank independence is widely thought be a sine qua non of a credible commitment to price stability. The surprise decision by the UK government to grant operational independence to the Bank of England in 1997 affords us a natural experiment with which to gauge the impact on the yield curve from the adoption of central bank independence. We document the extent to which the decision to grant independence was ‘news’ and illustrate that the reduction in medium and long term nominal interest rates was some 50 basis points, which we show to be consistent with a sharp increase in policymaker’s aversion to inflation deviations from target. We suggest therefore central bank independence represents one of the clearest signals available to elected politicians about their preferences on the control of inflation.
    Keywords: Central bank independence; preferences; yield curve.
    JEL: E4 E5 N2
    Date: 2006–01
  16. By: Buiter, Willem H; Patel, Urjit R.
    Abstract: Capital formation is a key driver of the growth of potential output. With continuing widespread capital controls and persistently small inward FDI the volume of capital formation in India is constrained by domestic saving. The national saving rate in India (the sum of the saving rates of households, enterprises and the state) is depressed by the continuing large public sector deficits (and much below the near 40% of GDP saving rates achieved by China). Even this saving rate should be able to support a higher growth rate than has been achieved thus far. The reason it does not is that the intermediation of this saving into domestic capital formation is inefficient. Since the middle of the 1990s, India's public debt has risen steadily as a share of GDP, but remains below the levels achieved at the time of the 1991 currency crisis. The composition of this debt is, however, significantly different from that in 1991: external public debt is modest and international gold and foreign exchange reserves stand at historically high levels. The domestic debt is rupee-denominated. For all these reasons, government solvency may not be a pressing issue at this stage. Globally, risk-free rates at all maturities and all imaginable credit risk spreads are extraordinarily and unsustainably low. Continuation of the pattern of recent years - a steady increase in the debt-GDP ratio - will sooner or later raise the public debt to unsustainable levels. The fiscal rules adopted by the Indian Central Government under the Fiscal Responsibility and Budget Management Act do not address the key distortions imposed by the authorities on the private sector through financial repression, misguided regulations and inefficient ownership and incentive structures. Nor do they address the underlying fiscal sustainability problem faced by the Indian state. In addition, they create a mechanism for macroeconomic volatility-enhancing, pro-cyclical fiscal policy.
    Keywords: financial intermediation; financial repression; fiscal sustainability; Indian public finance
    JEL: E5 E6 G1 G2 H6 O5
    Date: 2006–02
  17. By: Petra M. Geraats; Sylvester C.W. Eijffinnger; Carin A.B. van der Cruijsen
    Abstract: Central banks have become increasingly transparent during the last decade. One of the main benefits of transparency predicted by theoreticalmodels is that it enhances the credibility, reputation, and flexibility of monetary policy, which suggests that increased transparency should result in lower nominal interest rates. This paper exploits a detailed transparency data set to investigate this relationship for eight major central banks. It appears that for all central banks, the level of interest rates is affected by the degree of central bank transparency. In particular, the majority of the improvements in transparency are associated with significant effects on interest rates, controlling for economic conditions. In most of these cases, interest rates are lower, often by around 50 basis points, although in some instances transparency appears to have had a detrimental e¤ect on interest rates.
    Keywords: central bank transparency; monetary policy; interest rates.
    JEL: E52 E58
    Date: 2006–02
  18. By: Isidoro Guzmán (Universidad Politécnica de Cartagena)
    Abstract: This paper analyzes the relationship between economic-financial ratios and thedecision of distributing interim dividends by Spanish firms. With that purpose, we takea sample of non-financial companies quoting in the Spanish Stock Market during theperiod from 1999 to 2001. We choose a multivariate analysis in order to determinethe significant factors affecting the behavior of the companies when paying dividends inadvance. The results show that the ratios related with the firm productivity contain thehighest explanatory power regarding the characteristics analyzed. El presente trabajo analiza la relación de causalidad de la información contable asociada al reparto de "dividendos a cuenta", utilizando como variables predictoras un conjunto de ratios económico-financieros. El trabajo se realizó sobre una muestra de sociedades no financieras cotizadas en el mercado español durante los ejercicios 1999 a 2001, practicándose un doble análisis multivariante en orden a establecer los factores regresores relacionados con la distribución de dividendos interinos, mostrando los resultados obtenidos que las variables-ratios con mayor poder explicativo se relacionan generalmente con la productividad empresarial.
    Keywords: dividendos, ratios financieros, información contable, análisis factorial, regresión logit dividends, financial ratios, accounting information, factorial analysis, logit regression
    JEL: G35
    Date: 2004–03
  19. By: Yadira González de Lara (Universidad de Alicante)
    Abstract: This paper proposes a historically-grounded mechanism-design model of corporate finance, with two-side risk aversion under limited contract enforceability, where (inside) equity held by entrepreneurs, debt and (outside) equity coexist. This capital structure shares optimally the non-diversifiable risk associated with costly and risky ventures. Furthermore, it uniquely sustains the optimal risk allocation if agents' personal wealth is contractible at a higher enforcement cost than the projects' returns. Otherwise, the irrelevance theorem of Modigliani and Miller applies. Consistent with the theoretical predictions, we observe that (i) risk-averse merchants-entrepreneurs financed part of their ventures (hold inside equity) and raised additional funds from risk-averse investors through debt-like sea loan and equity-like commenda contracts when long-distance medieval trade was indeed highly costly and risky and that (ii) maritime insurance, with higher protection against the non-diversifiable "risk of loss at sea or from the action of men" but higher enforcement costs, did not develop until the mid-fourteenth century, when the ventures' costs and risk had decreased significantly. Whereas the model emphasizes the entrepreneurs' equity holdings and the limited-liability aspects of debt and equity, the choice between debt or equity derives from simple, although historically backed, information assumptions. The analysis is therefore complementary to other capital-structure theories based on agency costs, information asymmetries, signalling, transaction costs and incomplete contracting.
    Keywords: debt contracts, capital structure, creditworthiness, enforceability, inside and outside equity, insurance, limited liability, private information, risk-sharing
    JEL: D81 D82 G22 G32 N23
    Date: 2004–04
  20. By: Peter Bossaerts (California Institution of Technology); Charles Plott (California Institution of Technology); William R. Zame (California Institution of Technology)
    Date: 2005–03–01
  21. By: David Abad (Universidad de Alicante); Antonio Rubia (Universidad de Alicante)
    Abstract: Nyholm (2002, 2003) [J. of Financial Research, 25, pp. 485; J. of Applied Econometrics, 18, pp. 457] has proposed a new procedure to infer the probability of informed negotiation on a trade-to-trade basis through a regime-switching model. We provide further empirical evidence about the performance of this model by using trade-related information, such as the degree of aggressiveness and the trade size, on a pure order-driven market. It is evidenced that the switching scheme of the basic model is closely related to the arrival of different types of orders and not necessarily to information. This feature also applies when controlling for market variables other than order aggressiveness (e.g., trade size). The updating process in the non-linear setting proves so complex that it is necessary to account for a number of different microstructure effects to provide probabilities related to information arrivals. This evidence casts doubts about the general suitability of the procedure.
    Keywords: Probability of Informed Trading, PIN, Order aggressiveness.
    JEL: C21 C52 D82
    Date: 2004–10
  22. By: Copeland, Laurence (Cardiff Business School); Zhu, Yanhui
    Abstract: This paper addresses the question of how far hedging effectiveness can be improved by the use of more sophisticated models of the relationship between futures and spot prices. Working with daily data from six major index futures markets, we show that, when the cost of carry is incorporated in to the model, the two series are cointegrated, as anticipated. Fitting an ECM with a GJR-GARCH model of the variance process, we derive the implied optimal hedge ratios and compare their out-of-sample hedging effectiveness with OLS-based hedges. The results suggest little or no improvement over OLS.
    Date: 2006–02
  23. By: Justin Wolfers (Wharton, University of Pennsylvania, CEPR, NBER and IZA Bonn); Eric Zitzewitz (Stanford GSB)
    Abstract: Interest in prediction markets has increased in the last decade, driven in part by the hope that these markets will prove to be valuable tools in forecasting, decision-making and risk management - in both the public and private sectors. This paper outlines five open questions in the literature, and we argue that resolving these questions is crucial to determining whether current optimism about prediction markets will be realized.
    Keywords: prediction markets, information markets, event futures, political forecasting, prediction IVs
    JEL: C9 D7 D8 G1 M2
    Date: 2006–02
  24. By: Christian Hellwig
    Date: 2004–12–09
  25. By: Copeland, Laurence (Cardiff Business School)
    Abstract: In a dataset of weekly observations over the period since 1990, the discount on UK closed-end mutual funds is shown to be nonstationary, but reverting to a nonzero long run mean. Although the long run discount could be explained by factors like management expenses etc., its short run arbitrage-free equilibrium. In time series terms, there is evidence of long memory in discounts consistent with a bounded random walk. This conclusion is supported by explicit nonlinearity tests, and by results which suggest the behaviour of the discount is perhaps best represented by one of the class of Smooth-Transition Autoregressive (STAR) models.
    Keywords: Mutual Funds; ESTAR
    Date: 2006–02
  26. By: Peter Bossaerts (California Institute of Technology); William R. Zame (UCLA/Califonia Institute of Technology)
    Date: 2005–03–01
  27. By: Ángel León (Universidad de Alicante); Gonzalo Rubio (Universidad del País Vasco); Gregorio Serna (Universidad de Castilla-La Mancha)
    Abstract: This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which is easier to estimate than the non-central t distribution proposed by Harvey and Siddique (1999). Moreover, this approach accounts for time-varying skewness and kurtosis while the approach by Harvey and Siddique (1999) only accounts for nonnormal skewness. We apply this method to daily returns of a variety of stock indices and exchange rates. Our results indicate a significant presence of conditional skewness and kurtosis. It is also found that specifications allowing for time-varying skewness and kurtosis outperform specifications with constant third and fourth moments.
    Keywords: Conditional volatility, skewness and kurtosis; Gram-Charlier series expansion; Stock indices.
    JEL: G12 G13 C13 C14
    Date: 2004–03
  28. By: Graddy, Kathryn
    Abstract: Centralized markets with large numbers of buyers and sellers are generally thought of as being competitive and well-functioning. However, an important role of centralized markets is matching heterogeneous products, such as fish, to buyers of these products. The high level of differentiation in the Fulton fish market and the institutional structure at the Fulton market has led to patterns of behaviour that suggest imperfect competition and market segmentation. At times in the past, the repeated nature of price setting and extensive knowledge of the sellers may have created the basis for tacit collusion and allowed the dealers to gather economic rents by exploiting the different elasticities and buying patterns. Additional economic rents at the market were created by subsidized rents and lax regulation created fertile ground for organized crime to operate.
    Keywords: fish; imperfect competition; markets; pricing
    JEL: D40 L10
    Date: 2006–02
  29. By: Ana María Sabater (Universidad de Alicante); Joaquina Laffarga (Universidad de Sevilla)
    Abstract: The objective of this paper is to observe the reaction of the Spanish Stock Market tothe signature of a collective agreement at a company level, measuring abnormal returns,abnormal volume and the associated risk on the day the information reaches the market.Bearing in mind that this type of agreement tends to increase salaries with respect to those ofthe sector, the initial hypothesis is that a company agreement incorporates negativeinformation with the expectation of abnormal negative returns and positive volume on theevent day. The arrival of new information not only modifies the average expectedperformance of the group of companies concerned, but also affects performance volatility. Itis expected, according to the variant of the traditional hypothesis of market efficiency, thatrisk and expected performance will vary in the same direction, depending on the sign of theinformation on the company involved. El objetivo de este trabajo es analizar la reacción del precio, volumen negociado y volatilidad de las acciones de las compañías cotizadas en el mercado continuo español ante la firma de un convenio colectivo a nivel empresa. Teniendo en cuenta que este tipo de convenios sesga al alza los salarios respecto a los del sector, la hipótesis de partida es que un convenio de empresa incorpora información que podría considerarse de forma negativa por los inversores. Esto conllevaría la venta de los títulos de tal empresa y una caída en su precio. Por tanto, esperamos encontrar incrementos en el volumen negociado acompañados de rendimientos negativos para estas empresas en torno a la fecha del acontecimiento. Los resultados generales de este trabajo confirman esta hipótesis, si bien se observan reacciones distintas dependiendo del sector al cual pertenezca la empresa. Por otro lado, la llegada de la nueva información que contiene la firma del convenio, podría afectar a la volatilidad específica de dichos rendimientos. Cabe esperar, según la variante de hipótesis tradicional de eficiencia de mercado, que si la nueva información reduce la incertidumbre sobre los flujos futuros de las empresas que firman el convenio, la volatilidad específica de las mismas sea menor a partir de esa fecha. Así ocurre con los datos de nuestra muestra.
    Keywords: Rentabilidades Anormales, Volúmenes Anormales, Volatilidad, Convenio Colectivo de empresa. Abnormal Returns, Abnormal Volume, Volatility, Collective Bargaining.
    Date: 2004–10
  30. By: Karin Joeveer
    Abstract: There are no stylized facts about the capital structure of small firms. Therefore, in this paper I use firm data from 10 Western European countries to contrast the sources of leverage across small and large firms. Specifically, I jointly evaluate the explanatory power of firm-specific, country of incorporation institutional, and macroeconomic factors. Using data that is more comprehensive in coverage than that used in the existing research, I confirm the stylized facts of the capital structure literature for large and listed firms, but I obtain contrasting evidence for smaller companies: First, the country of incorporation carries much more information for small firms supporting the idea that small firms are more financially constrained and face non-firm-specific hurdles in their capital structure choice. Second, using two different leverage measures I show that the relationship of firm size and tangibility to leverage is robust to the measure used for listed, but not for unlisted, firms.
    Keywords: Capital structure, Publicly traded and privately hold companies, Europe.
    JEL: G32
    Date: 2005–12
  31. By: Helge Berger (Free University Berlin, Germany and CESifo, Munich, Germany); Jakob de Haan (University of Groningen, The Netherlands and CESifo, Munich, Germany); Jan-Egbert Sturm (Swiss Institute for Business Cycle Research (KOF), Swiss Federal Institute of Technology Zurich (ETH))
    Abstract: We examine the role of money in the policies of the ECB, using introductory statements of the ECB President at the monthly press conferences during 1999-2004. Over time, the relative amount of words devoted to the monetary analysis has decreased. Our analysis of indicators of the monetary policy stance suggests that developments in the monetary sector, while somewhat more important in the later half of the sample, only played a minor role most of the time. Our estimates of ECB interest rate decisions suggest that the ECB’s words (monetary-sector based policy intensions) are not an important determinant of its actions.
    Keywords: ECB, communication, monetary policy
    JEL: E58 E52 E43
    Date: 2006–01
  32. By: Carlos Forner (Universidad de Alicante); Joaquín Marhuenda (Universidad de Alicante)
    Abstract: Previous evidence has demonstrated that the momentum effect is present in the Spanish stockmarket, and that it can not be explained neither by the CAPM nor the Fama&French (1993) threefactor model. The aim of this paper is to deepen in the possible explanations of such phenomenon byanalyzing two new items. In the first part, the possibility that the momentum profits were therecompense for bearing some kind of risk not incorporated in this two models has been studied. Giventhe failure of this first approach, in the second part, the behavioural models of Daniel et al. (1998) andHong and Stein (1999) have been tested, by facing the momentum profits to the size, book-to-marketand analyst coverage characteristics. While the results show that the momentum profits focus on smallstocks, restrictions in the data hinder to obtain conclusive results regarding the validity of these twomodels in explaining the Spanish momentum. La evidencia previa en el mercado español ha puesto de manifiesto la existencia de un efecto momentum robusto ante ajustes tanto por CAPM como por el modelo de tres factores de Fama y French (1993). Este trabajo trata de ahondar en las posibles explicaciones de dicho fenómeno analizando dos nuevos aspectos. En una primera parte se estudia la posibilidad de que los beneficios del momentum sean consecuencia de la incorrecta especificación del modelo de valoración utilizado. Dada la dificultad de explicar los beneficios del momentum en base a esta alternativa, en una segunda parte se contrastan los modelos conductistas de Daniel et al. (1998) y Hong y Stein (1999), enfrentando los beneficios del momentum ante las características de tamaño, ratio book-to-market y cobertura de analistas. Si bien se obtiene que los beneficios del momentum se concentran en títulos de baja capitalización, limitaciones en la muestra impiden obtener resultados concluyentes en relación a la validez de estos modelos.
    Keywords: momentum, factores de riesgo, modelos conductistas momentum, risk factors, behavioural models
    JEL: G14 G11 G12
    Date: 2004–10
  33. By: Christine Greenhalgh (Oxford Intellectual Property Research Centre, St Peter's College, Oxford University); Mark Rogers (Harris Manchester College, Oxford University)
    Abstract: This paper uses a new data set of the trade mark activity of UK manufacturing and service sector firms (1996-2000) to investigate the market value of trade marks. Data on both trade (and service) marks sought via the UK Patent Office (UKTM) and the European Community Office for Harmonisation of the Internal Market (CTM) are available. Firms use trade marks to signal to consumers that the product is of a certain origin, implying consistent quality and reducing consumer search costs, thus increasing customer loyalty. The value of trade marks may vary across firms and industries, depending on such factors as whether or not patents can be filed and the market structure. Equally the costs of trade marks vary between UKTM and CTM applications, being higher for the latter. We analyse Tobin's q, the ratio of stock market value to the book value of tangible assets. We explore the impact of undertaking any trade mark activity and also the effects of increasing trade mark intensity among those who do. The results indicate that stock market values are positively associated with R&D and trade mark activity by firms. We find larger differences between firms with and without trade marks for services than for manufacturing. We also find bigger differences in Tobin's q when the services firm is applying for Community marks, rather than just applying for UK marks. Increasing the intensity of trade marks matters for both manufacturing and services, although at a decreasing marginal rate for manufacturing and only for the years excluding 2000 for services. The rapid fall in the UK stock market in 2000 appeared to negate the benefits of trade marks for innovative services firms.
    Date: 2006–02
  34. By: Mikkel Barslund (Department of Economics, University of Copenhagen); Finn Tarp (Department of Economics, University of Auckland)
    Abstract: This paper uses a survey of 932 rural households to uncover how the rural credit market operates in four provinces of Vietnam. Households obtain credit through formal and informal lenders, but formal loans are almost entirely for production and asset accumulation. Interest rates fell from 1997 to 2002, reflecting increased market integration; but the determinants of formal and informal credit demand are distinct. Credit rationing depends on education and credit history, but we find no evidence of a bias against women. Regional differences are striking, and a ‘one size fits all’ approach to credit policy is clearly inappropriate.
    Keywords: rural credit; household survey; Vietnam
    JEL: O12 O16 O17 O1
  35. By: Ioannidou,Vasso P.; Dreu,Jan de (Tilburg University, Center for Economic Research)
    Abstract: This paper studies the impact of explicit deposit insurance on market discipline in a framework that resembles a natural experiment. We improve upon previous studies by exploiting a unique combination of country-specific circumstances, design features, and data availability that allows us to distinguish between demand and supply effects. We show that deposit insurance causes a significant reduction in market discipline. We also show that the effect of deposit insurance depends on the coverage rate. When the coverage rate is more than 60 percent, market discipline is significantly reduced and it is completely eliminated when the coverage rate reaches 100 percent. Our results also suggest that most market discipline comes from large depositors and that the introduction of deposit insurance affected mainly those who were already active in imposing discipline. Our findings emphasize the need for binding coverage limits per depositor, high degrees of co-insurance, and "tailor made" deposit insurance systems that preserve the incentives of a critical mass of depositors that are willing and able to perform this function.
    Keywords: market discipline;deposit insurance;deposit insurance coverage; G21
    JEL: F30 F41 G28
    Date: 2006
  36. By: W. Allard Bruinshoofd; Clemens J. M. Kool
    Abstract: We provide new empirical evidence on non- linear liquidity management in Dutch firms. Our results reveal that liquidity adjustment from below the target is significantly faster than from above. We find no evidence for bands of inaction around the target.
    Keywords: Corporate liquidity management; Non-linear adjustment; Endogenous thresholds; Panel approach.
    JEL: C33 E41 G3
    Date: 2006–02
  37. By: Evelyne Dourille-Feer
    Abstract: Le marche du travail japonais a bascule du plein emploi au chomage durable pendant la crise 1992 - 2002. On etudie ici les determinants du chomage durable ainsi que les evolutions institutionnelles du marche du travail. Durant cette decennie, la composante conjoncturelle du chomage progresse beaucoup plus rapidement que la composante structurelle. Bien que toutes les tranches d’age soient touchees, les jeunes et les hommes seniors (60 - 64 ans) payent le plus lourd tribu. L’insuffisance des creations nettes d’emploi explique l’augmentation du chomage, alors que la population active se contracte depuis 1999. La lutte contre le chomage des pouvoirs publics et les efforts d’assainissement financier des firmes se traduisent par la transformation graduelle des institutions et par l’affaiblissement de l’originalite du modele d’emploi japonais.
    Keywords: Chomage; marche du travail; salaires
    JEL: J64 J65 J68 J21 J26
    Date: 2005–12
  38. By: Boot, Arnoud W A; Gopalan, Radhakrishnan; Thakor, Anjan
    Abstract: We analyze a publicly-traded firm’s decision to stay public or go private when managerial autonomy from shareholder intervention affects the supply of productive inputs by management. We show that both the advantage and the disadvantage of public ownership relative to private ownership lie in the liquidity of public ownership. While the liquidity of public ownership lets shareholders trade easily and supply capital at a lower cost, the liquidity-engendered trading also results in stochastic shocks to a firm’s shareholder base. This exposes management to uncertainty regarding the identity of future shareholders and their extent of intervention in management decisions and in turn curtails managerial incentives. By contrast, because of its illiquidity, private ownership provides a stable shareholder base and improves these input provision incentives but results in a higher cost of capital. Thus, capital market liquidity, while being a principal advantage of public ownership, also has a surprising 'dark side' that discourages public ownership. Our model takes seriously a key difference between private and public equity markets in that, unlike the private market, the firm’s shareholder base, namely the extent of investor participation, is stochastic in the public market. This allows us to extract predictions about the effects of investor participation on the stock price level and volatility and on the public firm’s incentives to go private, thereby providing a link between investor participation and firm participation in public markets. Lesser investor participation induces lower and more volatile stock prices, encouraging public firms to go private, whereas greater investor participation encourages younger firms to go public. Moreover, IPO underpricing is optimal because it is shown to lead to a higher and less volatile post-IPO stock price, greater autonomy for the manager and a higher supply of privately-costly managerial inputs.
    Keywords: corporate finance
    JEL: G10 G24 G32
    Date: 2006–02
  39. By: Bernardo Guimaraes; Stephen Morris
    Date: 2006–02–08
  40. By: Mariano Kulish (Reserve Bank of Australia)
    Abstract: This paper studies two roles that long-term nominal interest rates can play in the conduct of monetary policy in a New Keynesian model. The first allows long-term rates to enter the reaction function of the monetary authority. The second considers the possibility of using long-term rates as instruments of policy. It is shown that in both cases a unique rational expectations equilibrium exists. Reacting to movements in long yields does not improve macroeconomic performance as measured by the loss function. However, long-term rates turn out to be better instruments when the relative concern of the monetary authority for inflation volatility is high.
    Keywords: interest rates, monetary policy
    Date: 2005–11–21
  41. By: de Galdeano, Anna Sanz; Machado, Matilde; Pita Barros, Pedro Luis
    Abstract: We estimate the impact of health insurance coverage beyond National Health Insurance on the demand for several health services. Traditionally, the literature has tried to deal with the endogeneity of the private (extra) insurance decision by finding instrumental variables. Since a priori instrumental variables are hard to find we take a different approach. We focus on the most common health insurance plan in Portugal, ADSE, which is given to all civil servants and their dependants. We argue this insurance is exogenous i.e. not correlated with beneficiaries’ health status. This identifying assumption allows us to estimate the impact of having ADSE coverage on three different health services using a matching estimator technique. The health services used are: number of visits, number of blood and urine tests, and the probability of visiting a dentist. Results show large positive effects of ADSE for number of visits and tests among the young (18 to 30 years old) but only the latter is statistically significantly different from zero. The effects represent 21.8 and 30% of the average number of visits and tests for the young. On the contrary, we find no evidence of moral hazard on the probability of visiting a dentist.
    Keywords: demand for health services; matching estimator; moral hazard; Portuguese health system
    JEL: C31 I11
    Date: 2006–02
  42. By: Pedro J. García Teruel (Universidad de Murcia); Pedro Martínez Solano (Universidad de Murcia)
    Abstract: This paper analyses the debt maturity structure of the small and middle sizedfirms using the trade-off reward risk associated to the use of short-term loans.Therefore, a sample of 11.533 small and middle Spanish manufacturing firms from year1997 through 2001 was used. The results of our study show that short-term loans aremore frequent in firms with greater financial strength and greater financial flexibility,major growth options and when the interest cost differential between short-long terms ismore pronounced. Also, the firm size seems to have an influence on the level of shorttermloans, it being higher in the smaller firms. Este trabajo analiza la estructura de vencimiento de la deuda en las PYMEs a partir del trade-off rentabilidad riesgo asociado al uso de recursos ajenos a corto plazo. Para ello, se ha utilizado una muestra de 11.533 pequeñas y medianas empresas manufactureras españolas durante el periodo 1997-2001. Los resultados obtenidos muestran que el endeudamiento a corto plazo es mayor en aquellas empresas que presentan una mayor solvencia y flexibilidad financiera, mayores oportunidades de crecimiento y cuando el diferencial de tipos de interés corto-largo es más acentuado. Así mismo, el tamaño de las sociedades también parece influir en los niveles de endeudamiento a corto plazo, siendo mayor en las empresas más pequeñas.
    Keywords: Pymes, vencimiento de la deuda, solvencia financiera, flexibilidad financiera. SMEs, debt maturity, financial solvency, financial flexibility.
    JEL: G3 G32
    Date: 2004–04
  43. By: Lones Smith (Dept. of Economics, University of Michigan); Peter Norman Sorensen (Department of Economics, University of Copenhagen)
    Abstract: We show that far from capturing a formally new phenomenon, informational herding is really a special case of single-person experimentation -- and 'bad herds' the typical failure of complete learning. We then analyze the analogous team equilibrium, where individuals maximize the present discounted welfare of posterity. To do so, we generalize Gittins indices to our non-bandit learning problem, and thereby characterize when contrarian behaviour arises: (i) While herds are still constrained efficient, they arise for a strictly smaller belief set. (ii) A log-concave log-likelihood ratio density robustly ensures that individuals should lean more against their myopic preference for an action the more popular it becomes.
    Keywords: Bayesian learning, value function, herding, experimentation, log concavity, Gittins index, team equilibrium
    JEL: D83
    Date: 2006–01
  44. By: Ivan Paya (Universidad de Alicante); David A. Peel (University Management School)
    Abstract: Hegwood and Papell (2002) conclude on the basis of analysis in a linear framework that long-run purchasing power parity (PPP)\ does not hold for sixteen real exchange rate series, analyzed in Diebold, Husted, and Rush (1991) for the period 1792-1913, under the Gold Standard. Rather, purchasing power parity deviations are mean-reverting to a changing equilibrium -a quasi PPP (QPPP) theory. We analyze the real exchange rate adjustment mechanism for their data set assuming a nonlinear adjustment process allowing for both a constant and a mean shifting equilibrium. Our results confirm that real exchange rates at that time were stationary, symmetric, nonlinear processes that revert to a non-constant equilibrium rate. Speeds of adjustment were much quicker when breaks were allowed.
    Keywords: Purchasing Power Parity, ESTAR, Bootstrapping.
    JEL: F31 C15 C22 C51
    Date: 2004–06
  45. By: Helga De Doncker (National Bank of Belgium, Microeconomic Information Department)
    Abstract: Since 1 June 2003 the file of the Central Office for Credits to Private Individuals has recorded information relating to all consumer credits and mortgage loans contracted by natural persons for private purposes, as well as any payment defaults resulting from these loans. This registration aims to strengthen the means of preventing the excessive indebtedness of private individuals. In this paper the data of this unique and quasi exhaustive database are thoroughly analysed. Based on the information for the registered credit contracts and the registered persons, firstly a general description of the structure and characteristics of the Belgian private credit market is given. Further, the paper investigates borrowing and payment behavior according to debtor characteristics. The study finds that borrowing patterns, especially as credit portfolio composition is concerned, clearly diverge according to age and residence. Furthermore, striking differences were found for the percentage of loan defaults if these variables were taken into account. In particular, the paper comes to the conclusion that loan defaults aggregated at the regional level show remarkably strong correlations with economic and demographic factors.
    Keywords: credit bureau, consumer credits, mortgage loans, loan payment defaults
    JEL: D14 D18 G21 G22 G29 R29
    Date: 2006–01
  46. By: Faouzi Boujedra (LEO - Laboratoire d'économie d'Orleans - - CNRS : FRE2783 - Université d'Orléans)
    Abstract: Cet article identifie les déterminants du risque-pays par catégorie de risque afin d'apporter une évaluation globale et de résoudre le problème d'hétérogénéité des critères dans vingt-huit pays en développement sur la période 1984-2003. Pour atteindre cet objectif, nous utilisons l'analyse discriminante, et nous employons la méthode "rating" et l'estimation "Logit-Probit". A l'instar de Frank et Cline (1971) et Sargen (1977), nous déterminons de manière empirique les facteurs du risque-pays. Les résultats de risque-pays créent des scores de sévérité, qui devraient être intégrés étroitement dans les stratégies d'investissement dans les pays en développement.
    Keywords: Risque Pays ; risque économique ; risque financier ; risque politique ; Investissement
    Date: 2006–02–09
  47. By: Jean-Bernard Chatelain (LEO - Laboratoire d'économie d'Orleans - - CNRS : FRE2783 - Université d'Orléans); Bruno Amable (RRHEP - Régulation, ressources humaines et économie publique - - CEPREMAP, PSE - Paris-Jourdan Sciences Economiques - - CNRS : UMR8545 - Ecole des Hautes Etudes en Sciences Sociales;Ecole Nationale des Ponts et Chaussées;Ecole Normale Supérieure de Paris)
    Abstract: Les performances économiques de l'Allemagne et du Japon laissent supposer qu'une faible concurrence entre les intermédiaires financiers n'est pas nécessairement un obstacle à la croissance. Cet article présente un modèle de croissance endogène ne comportant un secteur d'intermédiation financière en concurrence imparfaite. Une forte concentration du secteur bancaire implique un marge d'intermédiation financière importante. Elle exerce un effet négatif sur la croissance par une baisse de la rémunération de l'épargne et une hausse du coût du capital. Mais les désavantages de la concurrence imparfaite peuvent être plus que compensés par l'accroissement de la productivité des investissements des entreprises provenant de l'expertise et du contrôle exercés par des banques universelles.
    Keywords: Concurrence imparfaite, Banques, Croissance
    Date: 2006–02–12
  48. By: Earl A. Thompson (UCLA); Jonathan Treussard (Boston University); Charles R. Hickson (Queens University at Belfast)
    Date: 2004–07–01
  49. By: Cazavan-Jeny , Anne (ESSEC Business School); Jeanjean, Thomas (HEC School of Management)
    Abstract: This paper focuses on how forecasts information is disclosed in IPO prospectuses. In France, managers report either detailed forecasts or only a brief summary. We investigate the determinants and consequences of the varying levels of detail provided in these forecasts. Based on a sample of 82 IPOs on the Euronext Paris market (2000-2002), we show that only two variables are associated with highly detailed forecast disclosures: forecast horizon and firm age. We also find that the forecast error decreases as the level of detail in the forecast disclosures increases. This finding is robust to our reverse causality test (Heckman two-stage self-selection procedure) and suggests that the level of detail in forecast disclosures enhances the reliability of earnings forecasts.
    Keywords: IPO; Forecast disclosure; forecast error
    JEL: G14 G34 M41
    Date: 2006–01
  50. By: Ivan Paya (Universidad de Alicante); David A. Peel (University Management School)
    Abstract: Nonlinear models of deviations from PPP have recently provided an important, theoretically well motivated, contribution to the PPP puzzle. Most of these studies use temporally aggregated data to empirically estimate the nonlinear models. As noted by Taylor (2001), if the true DGP is nonlinear, the temporally aggregated data could exhibit misleading properties regarding the adjustment speeds. We examine the effects of different levels of temporal aggregation on\ estimates of ESTAR models of real exchange rates. Our Monte Carlo results show that temporal aggregation does not imply the disappearance of nonlinearity and that adjustment speeds are significantly slower in temporally aggregated data than in the true DGP. Furthermore, the autoregressive structure of some monthly ESTAR estimates found in the literature is suggestive that adjustment speeds are even faster than implied by the monthly estimates.
    Keywords: ESTAR, Real Exchange Rate, Purchasing Power Parity, Aggregation.
    JEL: F31 C22 C51
    Date: 2004–06
  51. By: Marco Trombetta (Universidad Carlos III de Madrid); Mónica Espinosa (Universidad de Alicante)
    Abstract: In our study we focus on the determinants of reputation and, in particular, on the relation between the quality of annual report disclosures of companies and their reputation. We try to bring together two strands of literature: the literature on corporate reputation and the literature on corporate disclosures. Using data on corporate reputation and on quality of annual report disclosures for a sample of Spanish companies, we test the hypothesis that annual report disclosure quality is a crucial determinant of corporate reputation. After controlling for other possible determinants, especially size, we find significant evidence in favour of our hypothesis. Firms with a better annual report disclosure score are more likely to be rated among the top 50 national companies in terms of corporate reputation. Moreover the disclosure score positively affects the reputation score. Nuestro trabajo se centra en los determinantes de la reputación y, en particular,en la relación entre la calidad de la revelación de los informes anuales de las empresas ysu reputación. Tratamos de entrelazar dos grandes ramas de la literatura: la literaturarelativa a la reputación corporativa y la relacionada con revelación en los informesanuales. Utilizando datos de reputación empresarial y de calidad de los informes anualespara una muestra de empresas españolas, contrastamos la hipótesis de que la calidad dela revelación del informe anual es un determinante significativo de la reputaciónempresarial. Después de controlar el efecto de otros posibles determinantes,especialmente el tamaño, encontramos evidencia significativa a favor de nuestrahipótesis. Las empresas con mayor calidad de información en sus informes anualestienen más posibilidades de figurar entre las 50 mejores empresas españolas en términosde reputación.
    Keywords: reputación empresarial, calidad de la revelación, informe anual. corporate reputation, disclosure quality, annual report, financial performance
    Date: 2004–03
  52. By: M. Angeles Carnero (Universidad de Alicante); Daniel Peña (Universidad Carlos III de Madrid); Esther Ruiz (Universidad Carlos III de Madrid)
    Abstract: This paper analyzes the effects caused by outliers on the identification and estimation of GARCH models. We show that outliers can lead to detect spurious conditional heteroscedasticity and can also hide genuine ARCH effects. First, we derive the asymptotic biases caused by outliers on the sample autocorrelations of squared observations and their effects on some homoscedasticity tests. Then, we obtain the asymptotic biases of the OLS estimates of ARCH(p) models and analyze their finite sample behaviour by means of extensive Monte Carlo experiments. The finite sample results are extended to GLS and ML estimates ARCH(p) and GARCH(1,1) models.
    Keywords: GARCH, Outliers, Heteroscedasticity
    JEL: C22
    Date: 2004–11
  53. By: Jim Granato; Eran Guse; M.C. Sunny Wong
    Abstract: The assumption of perfectly rational representative agents is commonly questioned. This paper explores the equilibrium properties of boundedly rational heterogeneous agents. We combine an adaptive learning process in a modified cobweb model within a Stackleberg framework. We assume that there is an asymmetric information diffusion process from leading to following firms. In contrast to a simple cobweb model which has a unique REE, our model may produce multiple restricted perceptions equilibria (RPE). However, a unique and learnable RPE, under certain conditions, can exist in our model. In addition, the following firms’ forecasts can confound the leading firms’ forecasts - when the following firms misinterpret information coming from the leading firms. We refer this situation to the boomerang effect. We also find that the leading firms’ mean squared forecast error can be even larger than that of following firms if the proportion of following firms is sufficiently large in the market.
    Keywords: Adaptive Learning; Expectational Stability; Information Diffusion, Cobweb Model, Heterogeneous Expectations
    JEL: C62 D84 E37
    Date: 2006–02
  54. By: Christian Hellwig
    Date: 2005–10–12

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