The profit equivalence of mill and uniform pricing policies

In this note we point out a simple fact that seems to have been overlooked in the voluminous literature on mill pricing and uniform delivered pricing in location theory — the profit maximization problems involved are mathematically equivalent when the demand functions are linear.     

商业银行贷款定价体系的构建

银行贷款利率与资本市场息息相关。文章通过对金融市场的分析,研究了我国商业银行贷款定价体系是对其的必要补充。     

An anomaly in the pricing of bank non-interest mortgage charges

This paper uses a monopolistically competitive model to study the determinants of bank mortgage charges. The study shows that concentration and the loan-price ratio do not have significant effects on the bank mortgage charges. Significantly, the charges are found to be positively related to the number of banks and bank offices in a given market and inversely related to the market size or population. (JEL L130, G210)     

International transfer pricing and income shifting: evidence from the UK

The potential use of international transfer pricing (ITP) as an income-shifting mechanism by multinational enterprises (MNEs) has long been recognized. However, there is relatively little evidence to substantiate or discount this claim in relation to UK-based foreign-controlled enterprises (FCEs). This paper examines the possible use of ITP as an income-shifting mechanism by FCEs operating in the UK. The methodological approach involves the comparison of the profitability (performance) and dividend (post-performance) distributions of a sample of FCEs with those of UK-controlled enterprises (UKCEs) over a two-year period. The two samples are matched on the basis of their total assets (capability). Results reveal significant differences in the profitability and dividend distributions of the two groups. FCEs underperform UKCEs, but their level of dividend distribution outstrips those of UKCEs. Based on this sample of seventy-two companies, a firm is more likely to be an FCE, rather than a UKCE, if it reports a combination of lower performance and higher post-performance distribution. Evidence of significant income shifting by FCEs is confirmed and the claim that ITP is the key mechanism for such shifts cannot be dismissed.     

The competitions of time-varying and constant loadings in asset pricing models: empirical evidence and agent-based simulations

Journal of Economic Interaction and Coordination - Under two frameworks of cross-section and time-series factors, we implement asset pricing models to dissect the abnormal returns in the Chinese...     

The role of an illiquidity risk factor in asset pricing: Empirical evidence from the Spanish stock market

The main purpose of this study is to construct an illiquidity risk factor for the Spanish stock market over the 1994–2002 period. Because of the absence of consensus in empirical research about the most appropriate liquidity measure, we applied the Amihud [Amihud, Y. (2002). Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets 5, 31–56] illiquidity ratio that shows the price response associated with one euro of trading volume. Moreover, we generated an illiquidity factor using the Fama and French [Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3–56] orthogonal approach and analyzed whether it enters the stochastic discount factor as an additional state variable. We conclude that systematic illiquidity should be a key ingredient of asset pricing.     

Experimental evidence of bank runs as pure coordination failures

We investigate how coordination requirement, measured by the coordination parameter, affects the occurrence of miscoordination-based bank runs in controlled laboratory environments. We identify an indeterminacy region of the coordination parameter such that games with the parameter within the region have varying coordination outcomes and exhibit persistent path dependence. Experimental economies with the parameter above (below) the region stay close or converge to the run (non-run) equilibrium. Switches between the two equilibria occur even with fixed economic fundamentals. The experimental results are well accounted for by a version of the evolutionary algorithm that uses experimentation rates estimated from the experimental data.     

The relationship between accounting numbers and returns: some empirical evidence from the emerging market of the Czech Republic

Generally, stock prices reflect future expectations of earnings, whereas accounting data reflect past performance. This paper attempts to discover the relationship between accounting data and market price returns of the companies listed on the Prague Stock Exchange (PSE). The Prague Stock Exchange was established in 1993 and provides an opportunity to make a comparison between a newly established market and the findings of studies of established markets. There has been a wealth of publications and accounting research studies on developed markets. Generally, accounting attributes are thought to be relevant because they tend to be contemporaneously statistically associated with stock prices. Some studies have suggested, and empirically tested, that stock prices lead earnings (e.g. Collins et al., 1987; Kothari, 1992; Kothari and Sloan, 1992; Kothari and Zimmerman, 1995). This study tests the existence of such a relationship in the Czech capital market, relying partially on the methodology proposed by Kothari and Sloan (1992) and Kothari (1992). This paper investigates whether there is a statistically significant permanent relationship between returns and accounting data on the Czech market. The study was conducted using accounting earnings and stock prices during the period 1993–8. The empirical evidence here suggests that a similar relation exists on the emerging Czech market. The relation is statistically significant for measurement windows of one year and longer. The increase in the mean response coefficient, reported later in this study, suggests that one-leading-year returns are as important as contemporaneous returns in terms of their sensitivity to annual earnings changes. However, one cannot infer with a degree of confidence that the Czech capital market views earnings changes to be largely permanent, which would be consistent with the time-series properties of annual earnings.     

Empirical evidence of error in pricing of favorites and longshots in greyhound racing

Sports bettors' success depends on the ability to accurately assess the true probability of outcomes. Successful racetrack bettors can realize returns better than the track take out. Historical empirical evidence shows the presence of favorite-longshot bias (FLB) in horse racing where bettors underbet favorites. Conversely, bettors overbet longshots. We tested for FLB bias in racing data from three greyhound racetracks. Our results show opposite behavior. We show bettors apparently underestimated for longshots, and overestimated for favorites, the true probability of winning. In 10 out of 14 grades bettors significantly overbet favorites, and underbet longshots in 8 out of 14.     

Performance of bank mergers and acquisitions: a review of the recent empirical evidence

This review provides a comprehensive analysis of the literature on bank mergers and acquisitions with an emphasis on the last decade. The study identifies and analyzes more than 135 publications focusing on this subject. The publications are grouped along their regional focus and the three main empirical methodologies utilized in the literature. The results are documented in detail and their evolution over time is discussed. The key factors influencing the performance of bank mergers and acquisitions, as identified in the relevant literature, are grouped into three categories and evaluated according to their contribution to the success of a merger. This paper concludes with a brief discussion of the influence of managers on the performance of mergers and acquisitions and evidence on regulatory arbitrage through bank mergers and acquisitions.     

内部转移价格的制订

为了对企业内部各责任中心的业绩进行正确的考核与评价 ,必须根据各责任中心业务活动的特点和要求 ,制定具有充分经济依据的内部转移价格     

Tax-benefit systems and differences in aggregate labour force participation: Comparative evidence from the Czech Republic and Hungary

This paper investigates the extent to which cross-country differences in aggregate participation rates can be explained by differences in tax-benefit systems. We take the example of two countries, the Czech Republic and Hungary, which – despite a lot of similarities – differ markedly in labour force participation rates. Using comparable individual-level labour supply estimates, we simulate how the aggregate participation rate would change in one country if the other country’s tax and social welfare system were adopted. The estimation results for the two countries are quite similar, suggesting that individual preferences are essentially identical in the two countries. The simulation results show that about one-third of the difference in the participation rates of the 15–74 year-old population and more than two-thirds of the participation of the prime-age population can be explained by differences in the tax-benefit systems.     

The transformation of Czech society: retrospect and prospect

The 6th Annual IEA Hayek Memorial Lecture, given in London, 17 June 1997, sponsored by Deloitte & Touche.     

Evaluating innovation policies: The German experience

Until recently, evaluations of technology policy were rare in the Federal Republic of Germany. Activities of this type on a larger scale were not started until the early eighties. Most of the evaluations performed concerned government incentives for small and medium-sized enterprises (SME). The main areas of research and development (R & D) and innovation promotion in small and medium-sized firms are the improvement of the capability and propensity to do in-house R & D, intensified cooperation in R & D between industrial firms and research establishments, the provision of more venture capital, and improved technology transfer. The underlying assumption is that these firms have bottlenecks, in particular in financing, in the personnel sector, and in obtaining information. A number of the existing support programs has meanwhile been investigated; the results of these investigations are covered in this paper. Initially, the underlying concept of impact analysis is outlined. Next, examples are presented of evaluations of general R & D funding measures, of grants for specific projects, of the debate about the most suitable instruments of promoting R & D in SME, and of technology transfer. Finally, some implications arising from the results of these analyses for technology policy in the Federal Republic of Germany are discussed.     

New evidence on shareholder wealth effects in bank mergers during 1980-2000

This paper employs two unique bank event study methodologies to calculate abnormal returns for bidder, target and combined firms. The first methodology is a modified market model that controls for shocks common to the banking industry. The second is an EGARCH (1, 1) model that adjusts for the violated regression assumptions of the traditional market model event study. The results of both methodologies reveal that target shareholders enjoy significantly positive abnormal returns, whereas the bidder shareholders experience significantly negative abnormal returns. Overall, announcements of bank mergers generate positive wealth effects for the combined shareholders. However, the evidence presented in this paper underscores the importance of the choice of models describing stock returns in examining the impact of bank mergers.     

On bank privatization: The case of Egypt

This paper discusses the controversy regarding the privatization of the banking sector in Egypt. It provides an overview of the structure and evolution of the banking system, in the context of the series of reform measures undertaken by the Egyptian authorities over the past decades. The paper assesses the performance of the state-owned banks versus private banks over the period 1995–2005. Microprudential indicators, such as capital adequacy, asset quality, earnings, and profitability, reveal that state-owned banks lag behind in terms of efficiency and performance, compared to their private counterparts. Results also suggest that retaining government ownership can adversely affect banks performance. The paper explores the factors hindering the smooth implementation of bank privatization. The authors indicate that the financial sector reform currently adopted is comprehensive; however it is confronted with various political, social, and economic risks, which raise concerns regarding its sustainability. The paper then draws on the existing literature to provide guidance to policy makers, regarding effective and successful implementation of bank privatization.     

The pricing of dividend consistency

This study investigates the pricing of dividend consistency. The approach used is to study the announcement effects around significant dividend changes; specifically dividend omissions, resumptions, and increases or decreases of 25% or more. We focus on the relation between the magnitude of the announcement effect and the firm's history of dividend payment consistency using an ARIMA model. We find that dividend consistency is not priced.     

The case for road pricing

The argument in principle for pricing the use of road space rests on firm intellectual foundations. The necessary technology is readily available. Public acceptance of the idea, with the concomitant need for investment in new roads, is subject to much confusion, reinforced by Nimbyism on one side and Swampyism on the other.     

The pricing of credit risk derivatives

This paper considers the pricing of derivatives that protect holders of corporate bonds from a reduction in their value because of a deterioration in their credit quality. These derivatives are structured as either puts on the bond price or calls on the bond spread (above the risk free rate) in the context of models developed by Merton (1974) and Black and Cox (1976). The pricing properties of these options are derived using both analytical and numerical methods.