VENTURE CAPITAL AND IPO LOCKUP EXPIRATION: AN EMPIRICAL ANALYSIS

Most initial public offerings (IPOs) feature “lockup” agreements, which bar insiders from selling the stock for a set period following the IPO, usually 180 days. We examine stock price behavior in the period surrounding lockup expiration for a sample of 2,529 firms from 1988 to 1997. We find that lockup expirations are, on average, associated with significant and negative abnormal returns, but the losses are concentrated in firms with venture capital backing. For the venture‐capital‐backed group, the largest losses occur for high‐tech firms and firms with the greatest post‐IPO stock price increases, the largest relative trading volume in the period surrounding expiration, and the highest quality underwriters. JEL classification: G14, G24     

The effects of wrongful discharge protection on foreign multinationals: Evidence from transaction‐level data

Using detailed micro‐level data from 1977 to 1994, we analyze the impact of employment protection measures adopted across US states on the number and the value of new inbound foreign direct investment (FDI) transactions completed by foreign‐owned companies. Our findings point to a robust negative association between the implementation of employment protection laws and both the extensive and the intensive margins of FDI in the US. When states adopt regulations that increase employers’ firing costs, FDI transactions by foreign multinational companies become less frequent and decrease in value, with stronger negative impacts in more labour‐intensive industries. There is also some evidence of diversion and spillover effects from the adoption of these measures by neighbouring states.     

Antecedents of Taiwan Chinese Consumers’ Purchase Intentions Toward U.S.- and Japanese-Made Household Appliances

ABSTRACT

The purpose of this article is to understand the factors influencing Taiwan's Chinese consumers’ purchase intentions toward U.S. and Japanese household appliances. The authors attempt to develop and test a comprehensive model linking such purchase intentions to several constructs including Taiwan Chinese consumers’ openness to foreign cultures, consumer nationalism, product familiarity, traditional cultural values orientation, and product-country image. The result of analysis using structural equation modeling shows that consumer nationalism has a strong indirect effect on purchase intention via the product-country image construct. Taiwan Chinese consumers’ traditional cultural values orientation and openness to foreign cultures have direct effects on consumer nationalism and, hence, are important antecedents in explaining the purchase intentions toward foreign-made goods by Taiwan Chinese consumers. With the growing importance of the Chinese domestic market, this study provides international marketing managers with practical implications in important areas such as market segmentation, branding strategy, and market research and practices in the Chinese consumer market.     

Profiling potential green electricity tariff adopters: green consumerism as an environmental policy tool?

Green electricity tariffs are one means by which green consumers can contribute to a more sustainable future. This paper profiles potential adopters of green electricity tariffs. Potential adoption is measured in terms of respondents' willingness to pay a premium for green energy in a national survey of the UK population. Hypotheses based principally on the cognitive–behavioural literature on green consumerism and green energy markets are developed. These are tested using a broad range of variables, which are grouped into three categories (demographic, attitudinal and behavioural). Consistent with past research, the empirical analyses find that attitudinal variables best characterize potential adopters. Further, potential adopters are found to have higher income, be better informed with respect to energy matters, show concern for the environment and believe that individual actions can make a difference to environmental decay. The implications of these findings for marketing and environmental policy are explored. Copyright © 2010 John Wiley & Sons, Ltd and ERP Environment.     

Design beyond complexity: Possible futures—Prediction or design? (and techniques and tools to make it possible)

This paper is an attempt to discuss the concepts of complexity and complex social system and their relation with the concepts of design and design activity. It is argued that a design cannot appear as an emergent property out of such systems, since it presupposes intentionality. However, to a certain extent, complex (social) systems need to be governed by means of design. Even if design requires prediction, which in our opinion is impossible in strict sense in case of social systems, there are two important conditions for a “good design”, namely, to look at the past, and to look at the future. After this general discussion, the paper provides a few suggestions on how to do the former without prejudices, and presents an effective technique for doing the latter without illusions.     

Market Quality around Macroeconomic News Announcements: Evidence from the US and Canadian Markets

We investigate changes in market quality in the US and Canada during macroeconomic news announcements. We measure market quality in terms of returns dependence, the cost of trading, and pricing errors. Using a sample of cross‐listed stocks and macroeconomic news from both countries, we document that market quality is generally higher in the US than in Canada. The pattern of intraday serial dependence in returns reveals that it takes investors about 5 min less to react to order imbalances in the US than in Canada. We further observe that, around announcement periods, transaction costs increase more in Canada than in the US, suggesting that the US market offers better liquidity. More information is also incorporated into the US market. These results support the view that the US is a prime target for cross‐listing, and are robust to different types of assets and time specifications.     

Bank monitoring: Evidence from syndicated loans

We directly measure banks’ monitoring of syndicated loans. Banks typically demand borrower information on at least a monthly basis. About 20% of loans involve active monitoring (i.e., site visits or third-party appraisals). Monitoring increases with the lead bank’s incentives and the value of information and is negatively associated with loan spreads and maturity. The monitoring captured by our measures can either complement or substitute for covenant-based monitoring, depending on whether the monitoring informs covenant compliance. Banks increase monitoring following deteriorations in borrower financial condition and credit line drawdowns. Finally, monitoring is positively related to future covenant violations and loan renegotiations.     

A PDE method for estimation of implied volatility

In this paper it is proved that the Black–Scholes implied volatility satisfies a second order non-linear partial differential equation. The obtained PDE is then used to construct an algorithm for fast and accurate polynomial approximation for Black–Scholes implied volatility that improves on the existing numerical schemes from literature, both in speed and parallelizability. We also show that the method is applicable to other problems, such as approximation of implied Bachelier volatility.     

Monetary Policy with Sectoral Trade‐Offs

We formulate a two‐sector New Keynesian economy featuring sectoral heterogeneity along three dimensions: price stickiness, consumption goods durability, and the usage of input materials in production. These factors affect both inter‐sectoral and intra‐sectoral stabilization. We examine the welfare properties of simple rules that react to alternative measures of final goods price inflation. Due to factor demand linkages, the cost of production in one sector is influenced by price‐setting in the other sector. Therefore, measures of aggregate inflation weighting sectoral prices based on their relative stickiness do not allow one to keep track of the effective speeds of sectoral price adjustment.