Can small investors exploit the momentum effect?

This study uses UK data and investigates whether small investors can exploit the continuation effect in share prices. Individual traders are not in a financial position to buy and sell short hundreds of firms, as suggested by existing academic research, and thus this study uses extreme performance companies to implement the strategy. We find that strong momentum gains appear when extreme winners and losers are employed. These returns remain strong even after considering the transaction costs of implementing such strategies, including commissions, stamp duty, selling-short costs, and bid-ask spread. Overall, we show that a relatively large number of small investors can enjoy momentum gains, providing some evidence against stock market efficiency.     

Financial development and economic growth in Greece: an empirical investigation with Granger causality analysis

This paper empirically examines the causal relationship between the degree of openness of the economy, financial development and economic growth by using a multivariate autoregressive VAR model in Greece for the examined period 1960:I-2000:IV. The results of cointegration analysis suggest that there is one cointegrated vector among GDP, financial development and the degree of openness of the economy. Granger causality tests based on error correction models show that there is a causal relationship between financial development and economic growth, but also between the degree of openness of the economy and economic growth.     

Entrepreneurial response to interstate regulatory competition: evidence from a behavioral discrete choice experiment

Journal of Regulatory Economics - Despite a developing literature exploring the relationship between regulation, taxation and business startups, few studies have utilized artefactual experimental...     

Hedging performance of multiscale hedge ratios

In this study, the wavelet multiscale model is applied to selected assets to hedge time-dependent exposure of an agent with a preference for a certain hedging horizon. Based on the in-sample and out-of-sample portfolio variances, the wavelet-based generalized autoregressive conditional heteroskedasticity (GARCH) model produces the lowest variances. From a utility standpoint, wavelet networks combined with GARCH have the highest utility. Finally, the wavelet-GARCH model has the lowest minimum capital risk requirements. Overall, the wavelet GARCH and wavelet networks offer improvements over traditional hedging models.     

What drives provincial‐Canada yield spreads?

Abstract.  Although recent research has led to a deeper understanding of the factors determining yields on long-term Canada bonds, there has been little corresponding work on provincial bonds. By using a carefully constructed new data set, we establish two important results. First, provincial fiscal positions (debt and deficits) are an important factor in determining yield spreads between provincial and Canada bonds. Second, we show that provincial bonds are a substitute for corporate debt, in that during recessionary 'flights to quality' their yields react like those on corporate bonds.     

The Effect of Regulatory Announcements on the Cost of Equity Capital of British Telecom

This paper examines the impact of regulatory announcements which affect competition, pricing policy and the supply of services in the telecommunications industry on British Telecom's (BT) systematic risk, as measured by the beta coefficient of a market model. Changes in investors' perception of a company's systematic risk will of course also change its cost of equity capital. Since BT's beta coefficient is found to be unstable over the estimation period, the market model is estimated using a time-varying parameter model. The results suggest that announcements which allow the price of BT's services to increase and announcements affecting its supply of services are likely to have an impact on BT's cost of equity capital, since they affect the investor's perception of BT's systematic risk. However, our analysis does not detect any effect from the other types of announcements tested. Further examination of the individual announcements included in the groups reveals that, within the non-significant groups, many individual announcements are significant, but they affect beta in opposite directions and thus no prediction can be made on the sign of their aggregated impact. These findings suggest that when one company dominates the industry, such as in the case of the UK telecommunications industry, the actions of the regulator do not always have the expected effect and problems of regulatory capture are likely to be present.     

Creating a high‐skills society during recession: issues for policy makers

The present study looks at the skill formation policies adopted by policy makers in Greece in order to create a high‐skills society. It examines empirically the demand side of the skill creation process within 300 small enterprises in order to understand how far supply‐side measures have influenced the demand for well‐trained staff within small businesses. The article draws on empirical data from 650 interviews with workers and small firm owners that explored owner demand for higher level skills and training. The study questions the effectiveness of the measures put forward by policy makers in order to encourage an up‐skilling strategy in the country. The analysis reveals that this policy agenda has been supported predominantly by various skills supply‐side initiatives including investments in higher education and subsidized accredited company training. Yet the empirical evidence indicates that such initiatives have not so far influenced owner demand for higher level skills and training, suggesting a new agenda for policy intervention may be necessary. The study provides valuable lessons for policy makers across the advanced capitalist world on the development of a high‐skills society.     

V-ROOM: a virtual meeting system with intelligent structured summarisation

With the growth of virtual organisations and multinational companies, virtual collaboration tasks are becoming more important for employees. This paper describes the development of a virtual meeting system called V-ROOM. An exploration of facilities required in such a system has been conducted. The findings highlighted that intelligent systems are needed, especially since information that individuals have to know and process is vast. The survey results showed that meeting summarisation is one of the most important new features that should be added to virtual meeting systems for enterprises. This paper highlights the innovative methods employed in V-ROOM to produce relevant meeting summaries. V-ROOM’s approach is compared to other methods from the literature, and it is shown how the use of metadata provided by parts of the V-ROOM system can improve the quality of summaries produced.     

Segmenting East Asian Tourists to Greece by Travel Motivation

This study compares the push and pull motivations of East Asian (Japanese, Chinese and Korean) tourists who visit Greece and also proposes market segmentation based on travel motivations that transcend the national boundaries of those countries. Four main push factors were identified: “Knowledge”, “Ego-enhancement”, “Escape & Relaxation” and “Novelty”. Similarly, four pull factors were also identified: “Leisure, shopping and safety”, “Variety and cost”, “Culture & heritage” and “Travel arrangements and facilities”. Cross-cultural differences were found regarding the importance of travel motivations. Chinese tourists scored higher than other nationalities for almost all motivation categories. Although the cross-cultural differences are important, this study proposes another way to tackle the market segmentation by conducting an international segmentation based on inherent similarities across different nationalities of travelers. Three segments emerged from that analysis with the “Novelty Seekers” to be the largest followed by the “Want-it-All” and the “Lowly Motivated”.