Testing for market timing ability: A framework for forecast evaluation

In this paper we examine the Henriksson-Merton test of market timing and its potential usefulness in evaluating investment advice. The paper proposes a natural extension of the test that is valid under more general assumptions about the distribution of asset returns. We show that the Henriksson-Merton test and its more general counterpart are special cases of standard tests of market rationality and efficiency. Both tests are applied to a group of foreign exchange advisory services.     

Sustainable development: A co-evolutionary view

The challenges of sustainable development can be organized around three themes. First, modernization has been unsustainable because it has been supported by the use of hydrocarbon fuels and chemicals which are limited in availability and damaging to the atmosphere and terrestrial and aquatic systems. Sustainable development will require that the use of energy and chemicals be subservient to ecosystem maintenance. Second, political consensus and bureaucratic mobilization will be more difficult because we no longer believe that development is almost inevitable through the application of Western science. On the other hand, we may be less prone to make mistakes. The decline in belief in progress has also increased the opportunities for non-Western cultures to define development for themselves. Third, we are shifting from a mechanical to a co-evolutionary understanding of systems which helps explain why development has been unsustainable and what we must do to attain sustainability.     

Extending corporate accountability: A survey and framework for analysis

This paper has three objectives: to review the state of the art with regard to the literature on corporate internal audit activities; to report on a research study of recent developments in the scope and organization of the internal audit function in major companies in U.S.A.; and to propose an analytical framework which may be used in future research to describe the scope, procedures and responsibilities of the corporate internal audit function. Although there appears to be some confusion in the extant literature regarding the definition and scope of certain internal audit efforts, this research provides new evidence that major U.S. companies are engaging in unprecedented experiments into the use of auditing as a tool for enforcing management and social accountability. This is a movement away from the traditional financial audit which is frequently assumed to fully circumscribe the internal audit function. The implications for implementing heightened standards of corporate accountability should be of interest to audit committees of boards of directors, corporate management, investors, consumers, and future researchers.     

A computational framework for analyzing dynamic auctions: The market impact of information sharing

This article develops a computational framework to analyze dynamic auctions and uses it to investigate the impact of information sharing among bidders. We show that allowing for the dynamics implicit in many auction environments enables the emergence of equilibrium states that can only be reached when firms are responding to dynamic incentives. The impact of information sharing depends on the extent of dynamics and provides support for the claim that information sharing, even of strategically important data, need not be welfare reducing. Our methodological contribution is to show how to adapt the experience-based equilibrium concept to a dynamic auction environment and to provide an implementable boundary-consistency condition that mitigates the extent of multiple equilibria.     

Sustainable futures: policies for global development

Global sustainable development is the overarching challenge for social and economic policy today. The paper elaborates the concept of sustainable development, identifies some of the levers and policies that might help attain it, describes a modeling system used for analysis, and presents the results of evaluating the impacts of policies and an integrated scenario built upon them.Particular attention is given to measures related to research, technology development and the wider use of networking technologies, and to the hypothesis that investments in these areas offer a ‘triple-win’ opportunity for growth, greater equity and resource-efficiency. We show that the combination of policy initiatives in these areas can offer a valuable alternative and/or complement to constraints on businesses and life-styles that are commonly proposed for sustainable development.     

On the asymmetric relationship between stock market development,energy efficiency and environmental quality: A nonlinear analysis

It has been widely documented in the literature that financial development drives up the impact of CO₂ emissions through increases in real economic activities and the consumption of polluting fossil fuel energy. However, when dealing with stock market development, such upward effects on economic growth, energy efficiency, and carbon emissions seems to give away to a positive impact especially in emerging markets. This paper contributes to this debate by exploring both the symmetric and asymmetric responses of CO₂ emission to changes in stock market development indicators. Using both the panel linear and nonlinear ARDL, our results demonstrate the asymmetric effects of stock market development indicator son carbon emissions in the context of emerging markets. In particular, the long-run elasticities results suggest that positive and negative shocks on stock market indicator decreases environmental quality by increasing carbon emissions. Based on these empirical findings, this study offers some crucial policy implications. Especially, policy makers should implement strong environmental policies in emerging markets economies to reduce carbon emissions of industrial companies without significantly affecting the development of financial markets.     

A framework for the analysis of firm risk communication

In this paper, we propose a framework for the analysis of risk communication and an index to measure the quality of risk disclosure. Mainstream literature on voluntary disclosure has emphasized that quantity can be used as a sound proxy for quality. We contend that, in the analysis of the disclosure of risks made by public companies, attention has to be paid not only to how much is disclosed but also to what is disclosed and how.We apply the framework to a sample of nonfinancial companies listed in the ordinary market on the Italian Stock Exchange. To verify that the framework and synthetic index are not influenced by the two factors recognized in the literature as the most powerful drivers of disclosure behavior for listed companies, we use an OLS model. The regression shows that the index of disclosure quantity is not influenced either by size or industry. Thus, the synthetic measure can be used to rank the quality of the disclosure of risks.     

Recent changes to the regulatory framework for the private capital market

The study reviews key regulatory events in the private offerings market during the period 2005–2020. One goal of this review is to help researchers identify and better understand these regulatory changes, and how they affect capital raising and investing in this market. Hopefully, some of them also could be used as exogenous shocks in future research. Another goal is to encourage researchers to study more closely some of the recent regulatory changes and nudge them to explore interesting issues in the private offerings area. Recent studies that have studied some of these regulatory events are reviewed as well.     

A nesting framework for Markov-switching GARCH modelling with an application to the German stock market

In this paper, we establish a generalized two-regime Markov-switching GARCH model which enables us to specify complex (symmetric and asymmetric) GARCH equations that may differ considerably in their functional forms across the two Markov regimes. We show how previously proposed collapsing procedures for the Markov-switching GARCH model can be extended to estimate our general specification by means of classical maximum-likelihood methods. We estimate several variants of the generalized Markov-switching GARCH model using daily excess returns of the German stock market index DAX sampled during the last decade. Our empirical study has two major findings. First, our generalized model outperforms all nested specifications in terms of (a) statistical fit (when model selection is based on likelihood ratio tests) and (b) out-of-sample volatility forecasting performance. Second, we find significant Markov-switching structures in German stock market data, with substantially differing volatility equations across the regimes.     

Siting controversies analysis: framework and method for questioning the procedure

Siting controversies are commonplace, as well against the construction of roads, railways, nuclear waste disposals, as against windfarms. Local citizens resist against siting decisions taken by the authorities, following a dynamics often quoted as ‘Not In My Back Yard’. Yet contested for its lack of analytical value, NIMBY is still used strategically by actors to qualify citizens as irrational and egoistic. Beyond this labeling, many factors are investigated to understand the dynamics behind siting controversies. In this paper, we focus on the impact of the legal procedure structuring the implantation of windfarms in the Walloon Region (Belgium), and its translations within different decision-making processes in specific case studies. To that regard, we consider the legal procedure as a ‘public policy instrument’. It is neither neutral nor natural, and carry values and interests. It organizes interpersonal relations between actors, and is potentially catalyzer of frustrations. In addition, this legal procedure is the object of translations within different contexts, including different actors participating to specific decision-making processes. The empirical approach of this paper is based on case studies data and on the use of an innovative methodology called ‘Open Process Workshop’. This methodology consists of a structured workshop with key stakeholders, during which the legal procedure is questioned. Overall, we demonstrate that the focus on the legal procedure – and its translations within different decision-making processes – allows systemic analysis providing deep understandings of controversies and reaffirming the interlinks between ‘the social’ and ‘the technical’ in such controversies. In addition, we argue that the methodology used fosters the production of innovative knowledge, mutual understanding, and collective learning between the participants.     

Labour market conditions and the corporate financing decision: A European analysis

This study examines the influence of labour market conditions on corporate capital structure in a sample of 2892 firms from France, Germany, Italy, Spain, and the UK. After considering the effect of unemployment and inflation, we analyse the impact of two market imperfections: employees’ rights and downward wage rigidity. Results indicate that financial leverage responds to changes in unemployment and inflation. We also find that the influence of employees’ rights is non-linear, whereas the negative effect of downward wage rigidity is moderated by firms’ market power. Taken together, our results show that corporate financial decisions are conditioned not only by firm-level issues but also by a country’s labour market.     

A framework model for assessing sustainability impacts of urban development

Urban man-made assets have impacts not just on those who develop, build and operate them, but on people who may be quite remote from them. For example, the impact of a building on greenhouse gas emissions arising from fossil fuel use, pollution caused by travel to work patterns and employment opportunities provided by urban developments may be far removed from their immediate locality. There is a growing recognition of the need to internalize these external costs and benefits in accountancy frameworks, drawing on experiences in accounting for sustainable development. This desire, however, presents major challenges in identifying, evaluating and allocating the external environmental, social and economic costs and benefits of an urban environment. This paper reports on the development of an Urban Development Sustainability Assessment Model (UD-SAM) which allows decision makers to identify sustainability indicators (economic, environmental and social) and which may lead to more holistic evaluation of the sustainability impact of elements of the urban environment. The UD-SAM builds on a sustainability assessment model (SAM) developed originally in the oil industry. This paper describes how SAM has been tailored for the construction industry and urban sustainability assessment, and how a set of generic sustainable development indicators have been identified and validated by stakeholders.     

Horizontal acquisitions and buying power: A product market analysis

Horizontal mergers exert price pressure on dependent suppliers and adversely affect their performance. Consistent with the theory of countervailing power, concentrated suppliers and those with greater barriers to entry experience larger price declines after consolidation downstream. Time-series results suggest that consolidation in dependent supplier industries follows mergers in main customer industries, indicating that consolidation activity travels up the supply chain. The findings are broadly consistent with pervasive beliefs in the business community about the buying power effects of horizontal mergers.     

A framework for understanding the evolution of relationship quality and the customer relationship development process

This paper attempts to develop and empirically test a conceptual model of relationship quality (RQ) in the financial sector from the perspective of the individual consumer (B2C). Based on a review of RQ research, the paper proposes a model of RQ from the customer perspective using the constructs most often examined in empirical RQ research (customer satisfaction, trust and commitment) and considers the relative importance of these dimensions within the stages of the relationship development process (RDP). A survey of 150 bank customers was undertaken in Egypt and the results tested using structural equation modelling. Respondents were selected on a convenience sampling basis and administered a questionnaire instrument for completion. The findings show that there is a strong relationship between the customer’s perceived relationship development phase and the perceived RQ. An important contribution of this paper lies in the alternative conceptualization of RQ as composed of three dynamic dimensions which are dependent on the RDP phase or stage. A second contribution is methodological and relates to the development of a modified scale to identify the relationship phases of customers. To the best of the researchers’ knowledge, these contributions are unique and have not been made previously to the body of knowledge on service relationship management.     

OTC derivatives market in India: recent regulatory initiatives and open issues for market stability and development

In the wake of the present financial crisis, which is believed to have been exacerbated by over-the-counter derivatives, increasing attention is being paid to analysing the regulatory environment of these markets. In this context, we analyse the regulatory framework of the over-the-counter derivatives market in India. The paper, inter alia, analyses how a good reporting system and a post-trade clearing and settlement system, through a centralized counter party, has ensured good surveillance of the systemic risks in the Indian over-the-counter market. This research paper also explores those open issues that are important to ensure market stability and development competition among centralized counterparties and better supervision of the off-balance sheet business of financial institutions.     

Financial market development: A potentiating policy choice for the green transition in G7 economies

Despite the overwhelming literature claiming the environmental benefits of the transition towards a green economy, the evidence favoring these broad claims is still obscure and fuzzy. The present study makes two significant contributions to this important yet unsettled issue. First, we segregate the overall green transition in G7 economies into three different manifestations i.e., Green Energy, Green Industry, and Green Trade, to evaluate their idiosyncratic effects on the environment. Second, we assess the moderating role of financial development in green transition and ultimately in achieving the COP-26 targets. Our findings indicate that the transition towards green energy and the green industrial sector improves environmental quality, and the benefits are more pronounced with a high degree of financial development. In contrast, the transition towards green trade does not help in improving environmental quality and may have some adverse effects; however, financial development could mitigate some of these undesirable effects and help combat carbon emissions. The study emphasizes that policymakers should view financial development as a crucial policy choice to achieve COP-26 targets owing to its benign environmental impact.     

互联网市场:预测与分析

2011年中国位置服务市场将呈现怎样的发展趋势？微博产业通过什么途径实现盈利？2011年中国平板电脑将呈现怎样的增长的态势？中国网络广告市场规模、社交游戏市场和有端网络游戏市场是不是持续稳定增长？     

Herding and excessive risk in the American stock market: A sectoral analysis

This paper aims to test whether herding behavior is a driving force of excessive market volatility and increasing bubbles in the US stock market at a sectoral level. Trading volume turnover and investors’ sentiment are ubiquitous factors besides market return to fuel herding movement in most sectors. Our sample covers all listed companies in the American stock market over four major turmoil periods. Granger causality test shows that herding is a vital ingredient to increasing bubbles in some sectors, but not all. Moreover, herding and trading volume have an inhibiting effect on both overall and in-sector market volatility in large markets, as opposed to concentrated markets commonly studied in the literature.     

Insurance and opportunities: A welfare analysis of labor market risk

Using a model with constant relative risk-aversion preferences, endogenous labor supply and partial insurance against idiosyncratic wage risk, this paper provides an analytical characterization of three welfare effects: (a) the welfare effect of a rise in wage dispersion, (b) the welfare gain from completing markets, and (c) the welfare effect from eliminating risk. The analysis reveals an important trade-off for these welfare calculations. On the one hand, higher wage uncertainty increases the cost associated with missing insurance markets. On the other hand, greater wage dispersion presents opportunities to raise aggregate productivity by concentrating market work among more productive workers. Welfare effects can be expressed in terms of the underlying parameters defining preferences and wage risk or, alternatively, in terms of changes in observable second moments of the joint distribution over individual wages, consumption and hours.     

建立和完善金融市场监测分析体系

本课题以研究金融市场风险、金融市场政策传导和金融产品创新发展与金融市场监测分析体系框架的关系为出发点,在深入研究分析我国金融市场监测分析体系现状和国际经验的基础上,提出了构建和完善我国金融市场监测分析体系框架的初步设想。