Can market frictions really explain the price impact asymmetry of block trades? Evidence from the Saudi Stock Market

We empirically examine the price impact of block trades, in the Saudi Stock Market over the time period of 2005–2008. Using a unique dataset of intraday data consisting of 2.3 million block buys and 1.9 million block sales, we find an asymmetry in the price impact of block purchases and sales. The asymmetry persists even when we account for the bid–ask bias in block trades, which is contrary to the previous literature. Overall, our findings suggest that in an emerging market where institutional trading is relatively scarce, market microstructure cannot explain the asymmetry in the price impact of large trades.     

Market structure and the pass-through of the federal funds rate

We study the effect of local market bank concentration on business loan originations and on the pass-through of the federal funds rate to business loan originations. Economic theory on the relationship between concentration and the pass-through of input prices to quantity (or price) is ambiguous. We find that more concentrated markets have lower business loan originations and experience smaller changes in business loan originations in response to changes in the federal funds rate. Our results support the idea that market concentration dampens quantity reactions to input price changes.     

Perks and the informativeness of stock prices in the Chinese market

While the literature shows that perks can affect firm values positively or negatively, we argue that firms with higher perks are more likely to be associated with a lower quality of financial reporting, which, in turn, can affect the informativeness of stock prices. Based on hand-collected data on perks from Chinese listed firms, we find that firms with lower perks are associated with higher informativeness of stock prices (or lower R-square). Moreover, the positive association between perks and R-square is shown to be weaker for firms with higher financial reporting quality through audit and earnings quality measures.     

A Reduced‐Form Model for Warrant Valuation

This paper studies warrant valuation using a reduced‐form model. Analogous to the credit risk literature, structural models require complete information about the asset value process and the firm’s liabilities. In contrast, reduced‐form models require only information about the firm’s stock price process. We introduce a reduced‐form model where the warrant holder is a price taker, and we relate our model to structural models appearing in the literature.     

Calibration Weighting Methods for Complex Surveys

This paper presents a careful investigation of the three popular calibration weighting methods: (i) generalised regression; (ii) generalised exponential tilting and (iii) generalised pseudo empirical likelihood, with a major focus on computational aspects of the methods and some empirical evidences on calibrated weights. We also propose a simple weight trimming method for range‐restricted calibration. The finite sample behaviour of the weights obtained by the three calibration weighting methods and the effectiveness of the proposed weight trimming method are examined through limited simulation studies.     

Do watching eyes affect charitable giving? Evidence from a field experiment

The presence of implicit observation cues, such as picture of eyes, has been shown to increase generosity in dictator games, and cooperative behavior in field settings. I combine these approaches, by testing if a picture of watching eyes affects unconditional giving in a natural environment, where the recipient is a charity organization. Taken together, this study reduces the influence of three potential confounding factors in previous experiments: (i) experimenter demand effects, (ii) that the facial cue reminds subjects of a human counterpart, and (iii) a social multiplier effect. Specifically, the paper reports results from an experiment, conducted in a Swedish supermarket chain, where customers face a naturally occurring decision problem. People who recycle cans and bottles have to choose whether to keep the recycled amount or donate it to a charity organization. By posting a picture of human eyes on recycling machines, I am able to test whether this causes an increase in donations to the charity. Based on a sample covering a 12-day period, 38 stores and 16775 individual choices, I find no general effect. However, when controlling for store and day fixed effects, and using a proxy for store attendance, the picture of eyes increased donated amount by 30 percent during days when relatively few other people visited the store. This result gives further support to the conclusion that subtle social cues can invoke reputation concerns in humans, although the relatively small effect suggests that previous estimates could be biased upward, or at least that the influence of observational cues is context dependent.     

Marketing strategy and the efficacy of procedural justice: The mid-level marketing manager in industrial service firms

A principal challenge confronting the senior marketing team in B2B firms is how to ensure that the marketing strategies they develop are implemented effectively. The literature indicates that mid-level marketing managers' perceptions of the procedural justice within the firm may be critical in this respect. However, there has been little empirical research on this issue. The authors develop and test a conceptual model of the key drivers and consequences of marketing managers' procedural justice perceptions. The findings show that if mid-level marketing managers trust their senior marketing colleagues and simultaneously operate within moderately organic structures, then procedural justice will thrive. A consequence of this is more effective implementation of marketing strategy which, in turn, leads to increased market performance.