Collective action clauses: How do they affect sovereign bond yields?

We study the effects of the adoption of collective action clauses (CACs) on government bond yields by exploiting secondary market data on sovereign bonds quoted in international markets from March 2007 to April 2011. CACs are assessed security by security. Using a panel data approach, we find a U-shaped effect of CACs on yields according to the credit rating of the issuer. While the impact is negligible for the highest ratings, a significant yield discount emerges for mid-range ratings, which is smaller for bad ratings and possibly insignificant for the worst ratings. This relationship appears fairly robust across a number of checks. This evidence may reflect the fact that CACs are valuable because they help with orderly restructuring unless the perceived probability of default is too small. Nevertheless, at low ratings, this effect can be weakened by an increasing risk of moral hazard.     

Talking by numbers — Communicated uncertainty of the ECB

Using a novel approach, this paper analyses the deliberately communicated uncertainty of the ECB to the market. Specifi cally, it semantically analyses the uncertainty expressed in offi cial ECB press statements. The analysis shows how the ECB tries to alert or appease the market with different levels of communicated uncertainty. The appeasement through low uncertainty communication levels is particularly pronounced during times of fi nancial distress. Further, the analysis shows that the ECB tried to alert the market through an increasing level of communicated uncertainty prior to the outbreak of the global fi nancial crisis.     

Who Supports the ECB? Evidence from Eurobarometer Survey Data

This paper studies the determinants of the support for the European Central Bank (ECB) in the member countries of the European Monetary Union (EMU) and their evolution from 1999 to 2015. Our contribution is to examine micro‐level sociodemographic characteristics from the Eurobarometer surveys jointly with macroeconomic indicators of trust in a central bank in order to evaluate econometrically their relative importance over time. Pseudo‐panel logit estimates reveal that the former have a dynamically stable, and generally stronger influence taken altogether, when compared with the latter. Interestingly, we find that while expected inflation becomes a positive determinant of trust in the ECB after the global financial crisis (GFC), actual inflation gets no statistical significance. Having taken centre stage in the monetary policy debate in the Euro‐area post‐GFC and especially since 2013, excessive disinflation and risk of deflation attracted strong attention by the public and have consequently affected its perceptions about the ECB. Accordingly, our results emphasise forward lookingness of the EMU population with regard to ‘deflation scares’ in determining trust in the ECB, in addition to disentangling the contributions of the key individual‐level sociodemographic factors, and can duly inform ECB's communication strategy.     

An investigation into gambling purchases using the NBD and NBD–Dirichlet models

Past research on gambling behavior has focused largely on cognitive and affective explanations, but has not explored the influence of past gambling behavior or habit. In this study, it was hypothesized that gambling behavior followed predictable patterns based on past behavior. We found that these patterns could be described by the negative binomial distribution (NBD) and NBD–Dirichlet models at game and category levels, respectively. An empirical study using the 1999 Australia Productivity Commission survey dataset provided some support for the usefulness of these models in describing gambling consumption. The paper explores the implications for identifying problem gambling and influencing gamblers’ behavior.     

Does the Starting Point Matter? The Literature‐Driven and the Phenomenon‐Driven Approaches of Using Corporate Archival Data in Academic Research

Despite recent and perhaps myopic criticisms of archival data with regard to supporting causal theoretical claims, it would be folly to disregard the exploratory and grounded theory development potential that these substantial, rich, and timely archives hold. The question then becomes one of how academics might tap into such archives. This paper considers this issue from a pragmatic perspective, drawing on the experiences of various academics with extensive experience in constructing data‐access relationships with industry. With the support of scholars who published their work using corporate archival data in leading academic journals, we suggest a phenomenon‐driven approach paralleled with the traditional literature‐driven approach in academic studies. This paper highlights best practices, pitfalls, and future opportunities, with the aim of serving as a guide for intrepid scholars interested in capitalizing on contemporary big data initiatives supported at many firms.     

Do investors value the nonfinancial disclosure in emerging markets?

This paper studies the impact of the nonfinancial disclosure on firm value for a large sample of Indian firms, arguably emerging market with poor investor protections and legal enforcement. We proxy the nonfinancial disclosure by the Bloomberg score on the extent of a firm's Environmental, Social, and Governance disclosures, and find positive valuation effects associated with the nonfinancial disclosure. We find the nonfinancial disclosure is more valuable to standalone firms compared to business group firms. This paper shows that the positive valuation effects associated with the nonfinancial disclosure are attributable to lower cost of funds and higher operating cash flows.     

Flexible labour markets and individualized employment: the beginnings of a new Japanese HRM system?

In an earlier study we reported that human resource management (HRM) in Japan was best characterized by continuity with some changes to assessment and pay practices. It is now over five years since we mapped out the changes taking place in Japanese HRM. This contribution reviews some of the changes over this period and considers the future directions of HRM. The essay commences with a discussion of the important contextual factors and issues underpinning HRM including employer proposals for reform. The next section then explores changes taking place in employment, remuneration and evaluation. This is supplemented by a more general assessment of the key changes occurring in Japanese HRM. The essay concludes with a discussion on why such changes are occurring, whether the changes constitute a convergence towards the Western model and the implications for HRM and theory development.     

Can corporate financing through the stock market create systemic risk? Evidence from the BRVM securities market

This paper investigates the systemic risk in the West African Economic and Monetary Union (WAEMU) stock exchange (Bourse Régionale des Valeurs Mobilières - BRVM). It examines the extent to which growing activities in this stock market generate systemic risk. We find strong linkages across all economic sectors of listed firms, with the financial and industrial sectors being the center of the system around which the other sectors revolve. Financial institutions are not the only source of systemic risk in the WAEMU region, even though they play an important role in the system. Finally, using panel regressions, we find that big, high-growth and profitable firms contribute more to systemic risk than others. Overall, we find that the determinants of systemic risk depend on the indicator used to assess it and the sectors in which companies operate.     

Competing in network markets: Can the winner take all?

Products as varied as software, credit cards, and even coffee makers are influenced by network effects whereby the product's value is contingent upon the number of people using it. In turn, markets for these products offer lucrative returns to managers who can leverage the dynamics in their favor. This article describes recent research focusing on the factors that influence success and failure in network markets. We offer recommendations and initiatives that increase the likelihood of success in network markets for entrepreneurs and incumbents alike.     

EU telecommunications and electricity markets—Heading towards price convergence?

This paper investigates the sources of intra-EU price dispersion in two important network industries, namely telecommunications and electricity. Both sectors experienced substantial regulatory reforms over the past couple of years, resulting in the widespread introduction of competition in traditionally monopolistic markets. The empirical results reported in this paper confirm that the introduction of competition in these sectors resulted in significant downward price effects. Further progress with regulatory reforms in telecommunications and electricity is likely to result in further price falls in these sectors and reduced price level differences across EU Member States. The content of this article is entirely the responsibility of the authors and does not necessarily reflect the views of the European Central Bank.     

Why do expiring futures and cash prices diverge for grain markets?

In recent years, cash and futures prices have failed to converge at expiration for selected corn, soybean, and wheat commodity contracts. This lack of convergence raises questions about the effectiveness of arbitrage activities, and increases concerns about the usefulness of these contracts for hedging. We describe the delivery process for these contracts, and show that it embeds a valuable real option on the long side—the option to exchange the deliverable for another futures contract. As the relative volatility of cash and futures prices increases, this option increases in value, which disconnects the cash market from the deliverable instrument in a futures contract. Our estimates of this option's value show that it may create significant price divergence. We parameterize an option pricing model using data on these three commodities from 2000 to 2008 and show that the option model fits closely to recent episodes of non‐convergence, which lends support to the importance of real option effects. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark

相似文献   

I’ll have the ice cream soon and the vegetables later: A study of online grocery purchases and order lead time

How do decisions made for tomorrow or 2 days in the future differ from decisions made for several days in the future? We use data from an online grocer to address this question. In general, we find that as the delay between order completion and delivery increases, grocery customers spend less, order a higher percentage of “should” items (e.g., vegetables), and order a lower percentage of “want” items (e.g., ice cream), controlling for customer fixed effects. These field results replicate previous laboratory findings and are consistent with theories suggesting that people’s should selves exert more influence over their choices the further in the future outcomes will be experienced. However, orders placed for delivery tomorrow versus 2 days in the future do not show this want/should pattern, and we discuss a potential explanation.     

Do investment determinants and effects vary across sovereign wealth fund categories? A firm-level analysis

This paper investigates whether determinants and effects of sovereign wealth funds (SWFs) investment vary across types of funds. To address this issue, we classify SWFs based on their scope and the origin of wealth. We find that saving and reserve funds and non-commodity funds pick better-performing firms. Furthermore, effects vary among SWF categories. In fact, saving and reserve funds assume a passive role in managing investments, unlike multi-objective and development funds which have detrimental effects on the target companies. As a whole, these findings confirm that heterogeneity of SWFs in terms of how they target firms and activism matters.     

Which is the safe haven for emerging stock markets,gold or the US dollar?

This paper examines whether gold or the US dollar is a safe haven for emerging stocks. By calculating the low-high tail dependence between markets via copulas and the downside risk gains of portfolios, we find that both gold and the US dollar can serve as a safe haven for emerging stocks; that the US dollar is better than gold in most cases, while its superiority in hedging infinitely extreme risks is weakened in the subsample of global financial crisis and the out-of-sample; and that the downside risk gains offered by the US dollar for China and Thailand are very attractive.     

Does the spillover of China's economic growth exist? Evidence from emerging markets

This paper primarily investigates if China affects emerging markets economies triggered by its rapid economic growth and the trend of economic globalization over the world. Our results indicate that China's economic growth causes a significant spillover effect on the economic performances of emerging markets, varying across the detected structural break in 2006 and the degree of economic globalization between China and 25 emerging economies over the period 2000–2012. The results herein support the formation of an inseparable interdependence between China and those emerging economies.