Similarly traded securities: Greek common vs. preferred stock

This paper examines the price spread between voting (common) and non‐voting (preferred) stocks during the period 1990–95 for a sample of 55 Greek companies. Because in Greece preferred stocks are not essentially different from common stocks, a number of hypotheses were tested to explain the observed differences. The data reveal an average spread of 27.5% for the entire period which, however, varies across years considerably. In cross‐sectional regressions it was found that the volatility of common stock returns, the liquidity of common shares relative to preferred shares, the ownership concentration, and the minimum dividend yield guaranteed to preferred stockholders explain a significant portion of the spread.     

What Enhances Insider Trading Profitability?

This study analyses the factors triggering insider trading profitability. Since there is not much evidence on this topic in the continental-European context, we focus on the Spanish stock market. Our findings show that the main relevant factors (the timing ability of the insider, the transparency of the transaction and the level of free cash flow of the firm) are related to insiders’ opportunities behaviour, motivated by the lack of either managerial control within the firm or enforcement of insider trading regulation. The level of ownership concentration, the spread and the interaction between the size and the transparency of the transaction are other relevant factors, some of them tested for the first time in the insider trading literature.      

The leading indicator property of the term spread and the monetary policy factors in Japan

Many studies have observed the leading indicator property of the term spread (LIPTS), which indicates that the term spread—the difference between long- and short-term interest rates—has information on future economic conditions. We examine whether this property is related to monetary policy or not by using Japanese monthly data with consideration for structural changes. Results of structural change tests show that the term spread has predictive ability for the future economic activity from 1982:4 to 1997:8. Decomposing the term spread into three parts; one is explained by past monetary policy shocks, another is explained by expected future call rates and the other is the remaining part, we find that all three parts are significantly related to the future economic growth rate. Hence, we find that the monetary policy plays an important role for the LIPTS.     

Towards a Measure of Core Inflation using Singular Spectrum Analysis

This paper constructs a number of possible core measures of inflation using singular spectrum analysis (SSA). Annual changes in monthly inflation are decomposed into its trend, oscillatory and noise components in order to develop an understanding of the trend and cyclicality in South African headline inflation. Three cyclical components with differing amplitude and frequency are identified. The trend and cyclical components of inflation are found to be a good approximation of core inflation, the inertial part of inflation. These core measures are compared with other candidate core measures based on the properties of a good core inflation measure. Generally, the SSA measures outperform commonly used measures of core inflation based on both in‐ and out‐of‐sample performance.     

遗传算法在装配线平衡中的应用

装配线平衡是混合装配生产线调度的重要基础,是面向订单装配(ATO)得以实施的技术瓶颈,对提高生产率和设备利用率也具有重要意义。在工位数量给定的条件下,文章针对装配线平衡的数学模型,提出了一种面向装配线平衡的非标准遗传算法。该算法基于各操作之间的逻辑优先关系产生可行操作序列而生成初始种群,保证解的可行性;在此基础上实现寻找最小节拍、选定较优序列进行遗传,并采用最优保存策略确保算法收敛到最优或近优解。最后通过实例验证了该算法的有效性和可行性。     

On the importance of systematic risk factors in explaining the cross-section of corporate bond yield spreads

In this paper we examine the importance of systematic equity market factors in explaining the cross-sectional variation in yield spreads on corporate debt. Based on a sample of 1771 corporate bonds over the period from January 1985 to March 1998, we find that once the default-related variables are controlled for, bond betas or sensitivities to aggregate equity market risks have very limited explanatory power. This is in contrast to [Elton, E.J., Gruber, M.J., 2001. Explaining the rate spread on corporate bonds. Journal of Finance 56, 247–277] who find that market factors tied to expected returns are predominantly important, but who do not control for these variables (i.e. the relevant variables from structural models), possibly biasing their estimates. On the other hand, our finding that the systematic factors exhibit some limited explanatory power suggests that the standard contingent claims approach may not fully apply. This finding is consistent with previous research that bond betas are not completely irrelevant once market frictions are introduced. Overall, the evidence provides empirical support for the proposition that structural models capture important elements of corporate bond yield spread determination and equity market systematic factors are by no means predominant.     

转型目标、顺序及动力机制:一个文献述评

作为一种大规模制度变迁,转型向学者们提出了许多难题:转型的目标是什么?转型的最优顺序应该怎样?转型的动力机制有哪些?本文对上述问题的相关文献进行了概括,并对已有转型理论进行扩展和深化.     

VERTICAL DIFFERENTIATION AND THE DISTRIBUTION OF INCOME

The paper analyses the effects of income concentration on the behaviour of a duopoly with vertical product differentiation and uncovered market. By using a trapezoid distribution, we solve explicitly for market equilibrium as a function of a mean preserving spread of the income distribution. We show that overall more concentrated incomes imply stronger product differentiation, as the presence of a large share of middle‐income consumers stimulates a price competition, whose effects are dampened through an enlargement of the quality spread. While the high‐quality advantage and market coverage increase unambiguously in the degree of income concentration, the behaviour of prices is non‐monotone in the distribution parameter.     

Do reductions in tick sizes influence liquidity?

On 4 December 1995, the Australian Stock Exchange reduced the minimum tick size for stocks priced below $A0.50 and stocks priced above $A10. We use this natural experiment to examine the impact of tick size reductions on liquidity. The present paper reports that although lower tick sizes generally lead to increased liquidity, this result is not universal. Stocks with larger relative tick sizes experience the greatest improvement in liquidity, while stocks with small relative tick sizes and low trading volume experience reduced liquidity. There is no change in order exposure as a result of the reduced tick sizes.