Short Selling and the Weekend Effect in Nasdaq Stock Returns

We examine daily short selling of Nasdaq stocks to explore whether speculative short selling causes a significant portion of the weekend effect in returns. We identify a weekend effect in speculative short selling whereby it constitutes a larger percentage of trading volume on Mondays versus Fridays. We find an opposite effect in dealer short selling, consistent with market makers adding liquidity and stability. Our main finding is that speculative short selling does not explain an economically meaningful portion of the weekend effect in returns, even among the firms most that are most actively shorted. This finding contradicts some prior studies.     

Multigeneration innovation diffusion and intergeneration time: A cautionary note

A recent JAMS article reported the following finding: the longer the time between the launch of two adjacent generations in the same product category, the lower the initial rate of adoption of the later generation but the higher its subsequent rate of growth. This note shows that these results could be a method artifact, since they vanish once one controls for differences in the length of the data series used to compute the initial and subsequent rates of growth. So, for the time being, it is premature to accept these intergeneration effects as genuine. Christophe Van de Bulte (Ph.D., Pennsylvania State University) (vdbulte@wharton.upenn.edu) is an assistant professor of marketing at the Wharton School of the University of Pennsylvania. He holds an undergraduate degree in applied economics from the University of Antwerp, Belgium, and is a Fellow of the Belgian American Educational Foundation.His research focuses on new product diffusion and on the role of social networks in marketing settings, and has been published in theAmerican Journal of Sociology, theJournal of Marketing, Management Science, Marketing Science, and other journals. He serves on the editorial boards of theJournal of Business-to-Business Marketing andMarketing Science.     

Repurchasing Shares on a Second Trading Line

This paper studies a unique buyback method allowing firms toreacquire their own shares on a separate trading line whereonly the firm is allowed to buy shares. This share repurchasemethod is called the Second Trading Line and has been extensivelyused by Swiss companies since 1997. This type of repurchaseis unique for two reasons. First, unlike open market programs,the repurchasing company does not trade anonymously. Second,all transactions made by the repurchasing firm are publiclyavailable in real time to every market participant. This isa case of instantaneous disclosure which contrasts sharply withother markets characterized by delayed or no disclosure. Wedocument that the daily repurchase decision is statisticallyassociated with short-term price changes and the release offirm-specific news. We also find that repurchases on the secondtrading line have a beneficial impact on the liquidity of repurchasingfirms. Exchanges and regulators may consider the second tradingline an attractive share reacquisition mechanism because ofits transparency and positive liquidity effects.     

Credit Rationing,Customer Relationship and the Number of Banks: an Empirical Analysis

The recent important transformations of the banking sector, especially through numerous mergers and acquisitions, both in Europe and in the USA, have raised serious concerns for the financing of small businesses (SBS). Indeed, SBS are known to be heavily dependent of this financing channel but to be rather opaque. It has long been thought that banks classically solved this problem by developing long term customer relationships. But will the new large banks, born from the current restructuring process, be able to continue to play this role? If not, what strategy should SBS develop to compose their bank pool in order to avoid, as much as possible, credit rationing? These questions are at the heart of our analysis. We show that there is no unique rule: all depends on the degree of SBS opacity and the kind of bank the SBS are working with.     

The information content of implied volatility, skewness and kurtosis: empirical evidence from long-term CAC 40 options

Implied standard deviation is widely believed to be the best available forecast of the volatility of returns over the remaining contract life (Jorion, 1995 ). In this paper, we take this result two steps further to the higher moments of the distribution (skewness and kurtosis) based on a Gram–Charlier series expansion of the normal distribution (Corrado and Su, 1996 ) using long-term CAC 40 option prices contract, named PXL. First, we found that implied first moments contain a substantial amount of information for future moments of CAC 40 returns although this amount decreases with respect to the moment's order. Secondly, we found that the different shapes of the volatility smile are consistent with different distribution of the underlying returns. Based on these results, we also observed that including other implied moments significantly improves the out-of-sample pricing performance of the Black–Scholes, (1973) model.     

Does size matter for port coopetition strategy? Concept,motivation and implication

Coopetition is one of the emerging strategies for ports to react towards the rapidly changing market environment. Having this strategy in action, ports will simultaneously compete and cooperate to achieve commonly interesting goals among players involved. Several ports in the Hamburg–Le Havre range have already decided to use such coopetitive strategies. The literature, however, shows that there exist a number of case-specific motivations for having employed this strategy. The aim of this paper is to investigate the motivations for the ports of Flanders (Antwerp, Zeebrugge, Ghent and Ostend) to choose coopetition. These four Flemish ports recently agreed to collaborate after several years of negotiations. It was known that the large port of Antwerp was more reluctant to collaborate with the smaller ports: Zeebrugge, Ghent and Ostend. This fact does naturally lead us to consider whether the size of port is a factor having an impact on the coopetitive strategy. The current paper attempts to examine the possible impact of size difference on the motivations for ports to opt for coopetition, within a framework of coopetition motivations based on a literature review. From a qualitative analysis on the matter, the paper concludes that size is not an important factor for the motivations to establish coopetition since ports are mainly aimed at achieving a win–win situation. Other factors, such as similarities in the services offered and competition level, look more influential. Nevertheless, the size difference among the ports seems to have an impact on the choice of the type of coopetition and on the willingness of the ports to adopt this strategy. Finally, the paper indicates that it is beneficial for all the ports to investigate the use of coopetition as a way of expanding the network of logistics services.     

Foreign bank lending and information asymmetries in China: Empirical evidence from the syndicated loan market

This paper considers whether information asymmetries affect the willingness of foreign banks to participate in syndicated loans to corporate borrowers in China. We analyze how ownership concentration, which influences information asymmetries in the relationship between the borrower and the lender, exerts an impact on the participation of foreign banks in syndicated loans granted to Chinese borrowers in the period 2004–2009. We observe that greater ownership concentration of the borrowing firm does not positively influence participation of foreign banks in the loan syndicate. We conclude that information asymmetries are not exacerbated for foreign banks relative to local banks in China.     

Cost-effectiveness of aripiprazole once-monthly compared with paliperidone palmitate once-monthly injectable for the treatment of schizophrenia in the United States

Objective:

To develop a decision-analytic model to estimate the cost-effectiveness of initiating maintenance treatment with aripiprazole once-monthly (AOM) vs paliperidone long-acting injectable (PLAI) once-monthly among patients with schizophrenia in the US.

Methods:

A decision-analytic model was developed to evaluate a hypothetical cohort of patients initiating maintenance treatment with AOM or PLAI. Rates of relapse, adverse events (AEs), and direct medical costs were estimated for 1 year. Patients either remained on initial treatment or discontinued treatment due to lack of efficacy, AEs, or other reasons, including non-adherence. Data from placebo-controlled pivotal trials and product prescribing information (PI) were used to estimate treatment efficacy and AEs. Analyses were performed assuming dosing of clinical trials, real-world practice, PIs, and highest therapeutic dose available, because of variation in practice settings. The main outcome of interest was incremental cost per schizophrenia hospitalization averted with AOM vs PLAI.

Results:

Based on placebo-controlled pivotal trials’ dosing, AOM improved clinical outcomes by reducing schizophrenia relapses vs PLAI (0.181 vs 0.277 per person per year [pppy]) at an additional cost of US$1276 pppy, resulting in an incremental cost-effectiveness ratio (ICER) of US$13,280/relapse averted. When PI dosing was assumed, this ICER increased to US$19,968/relapse averted. When real-world dosing and highest available dosing were assumed, AOM was associated with fewer relapses and lower overall treatment costs vs PLAI.

Conclusions:

AOM consistently provided favorable clinical benefits. Under various dosing scenarios, AOM results indicated fewer relapses at lower overall costs or a reasonable cost-effectiveness threshold (i.e., less than the cost of a hospitalization relapse) vs PLAI. Given the heterogeneous nature of schizophrenia and variability in treatment response, health plans may consider open access for treatments like AOM. Since model inputs were based on data from separate placebo-controlled trials, generalization of results to the real-world setting is limited.     

The Utilisation of Trade Preferences for Developing Countries in the Agri‐food Sector

Both the European Union and the United States grant non‐reciprocal preferences to developing countries under the Generalised System of Preferences as well as under several regional schemes. The benefits of these preferences have recently been questioned. Several authors have pointed out the under‐utilisation of these preferences due to the constraints attached. There have been claims that rules of origin requirements and administrative costs, as well as uncertainty on eventual eligibility, have deterred exporters from using preferential regimes. We calculate various indicators of the utilisation of preferences in the agricultural, food and fisheries sector. We conclude that only a very small proportion of the imports eligible for these preferences is actually exported outside a preferential regime. The rate of utilisation is therefore high. However, the flow of imports from the poorest countries remains very limited in spite of rather generous tariff preferences, which leads to questions over the overall impact of the preferential agreements. In addition, preferential regimes overlap, and in such cases some regimes are systematically preferred to others. We use econometric estimates of the (latent) cost of using a given preference to explain why particular regimes are used. We focus on possible explanations, such as the cumulation rules (that restrict the use of materials originating from other countries), fixed administrative costs and differences in the preferential margin.     

Rural Futures: Alternative Scenarios for French Rural Society to 2020

The foresight approach presented in this article is a contribution to a work programme set up by the French land planning agency (DATAR) on the theme'Land planning for the France of 2020'. The future of rural space is a matter of concern because of the rapid economic polarization movement towards the metropolis and surroundings, observed over the last three decades. This movement threatens the viability of rural space. The foresight study is based on scenario building. Rural space is seen as a system that ensures various functions: residence, production, nature. Each function and the global context are considered as subsystems driven by a set of key variables. Combining the various modalities of any subsystem variables allows us to build partial scenarios. In turn, these partial scenarios are combined to design four global scenarios describing the possible futures of the French rural space:'a generalized residential countryside', characterized by a marked increase in urban spread; 'sustainable towns and large farms', where rural areas are organized according to the interest of farmers;'towards the nature countryside', a breaking scenario where the priority is to meet environmental challenges; and'active and competitive rural areas', emphasizing the role of local productive systems. Policy makers have many choices and can shape the countryside's picture in the next decade.