The timing of exchange rate collapse

Recent episodes of exchange rate collapse have renewed interest in models of speculative attacks. These episodes have been considered by some observers to be inconsistent with “fundamentals” models of attack since there was no prolonged period of policy misalignment and declining reserves, as required by such models. This paper develops a fundamentals model in which collapse is instantaneous at the time of unexpected policy change and/or a change in the expectations of future policy, even for a reserve abundant country.     

Fixed Asset Revaluation and Equity Depletion in the UK

UK GAAP has traditionally allowed the write-off of purchased goodwill directly to reserves, resulting in the widespread depletion of book equity. Companies have also been permitted to revalue fixed assets at management's discretion. This study examines whether upward revaluations have been associated with the depletion of book equity and with other costly contracting explanations identified in prior research. Our results provide strong support for the equity depletion hypothesis, both with regard to the decision to revalue and the timing of the revaluations. Indebtedness, liquidity, size and fixed asset intensity are also consistently associated with upward revaluation.     

Insider ownership and signals: evidence from stock split announcement effects

This study examines whether investors regard the level of insider ownership of a firm as useful for evaluating stock split decisions. Results show that the abnormal returns at the announcement of stock splits are positively related to the level of insider ownership. The results prevail even after controlling for other relevant factors. Further analysis indicates the positive relation exists for small firms, but not for large firms. This indicates the market evaluates stock split decisions within the context of both insider ownership and information asymmetry.     

Shocking Stories

The paper provides a survey of methods that decompose multivariate series into permanent and transitory components by using ideas drawn from the co-integration literature. We adopt a two stage procedure to effect the decomposition. In the first stage a basic set of permanent and transitory components is formed by using standard definitions of the shocks which they are constituted from. The resulting measurements are not unique and further information needs to be employed to get uniqueness. Such information can come in many forms but a particularly important one involves the values of the long-run multipliers for permanent shocks that are available from many calibrated models. A comparison of the methods of effecting the decomposition is performed using a well known data set.     

Macro-economic determinants of consumer price knowledge: A meta-analysis of four decades of research

For the past four decades, dozens of researchers have studied consumer price knowledge, often with disagreements on the extent of consumer' ignorance about prices. While some of these disagreements have been attributed to research design variations among studies, no inquiry has yet been made on the role of the economic environment on consumer price knowledge. Nevertheless, environmental factors such as interest rates, unemployment, and economic growth may significantly influence consumers' knowledge of prices. Certain economic environments may therefore provide marketers with the ability to utilize pricing tactics which rely on limitations in consumers' knowledge of product prices. Using a meta-analytic framework, this paper synthesizes the results of 297 previous price knowledge studies to document the effects of inflation, unemployment, GDP growth, interest rates, country of study, and passage of time on consumer price knowledge. The meta-analysis results demonstrate that economic factors have considerable influence on explaining variations in consumer price knowledge. Managerial and public policy implications of the findings in light of turbulent economic environments are discussed.