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1.
Using Consensus Forecast survey data on WTI oil price expectations for 3- and 12-month horizons over the period November 1989 to December 2008, we find that the rational expectation hypothesis is rejected and that none of the traditional extrapolative, regressive and adaptive processes fits the data by itself. We suggest a mixed expectation model defined as a linear combination of these traditional processes, which we interpret as the aggregation of individual mixing behavior and of heterogenous groups of agents using these simple processes. This approach is consistent with the economically rational expectations theory. We show that the target oil price included in the regressive component of this model depends on the long-run marginal cost of crude oil production and on short term macroeconomic fundamentals whose effects are subject to structural changes. For the two horizons, estimation results provide evidence for our mixed expectation model incorporating this break-dependent target price. 相似文献
2.
Improving shareholder value has often been cited as a merger determinant. Because mergers create larger firms and less competition, they may increase shareholder value through higher market share and stock‐market value. We investigate merger impacts on firms' stock‐market value and market share. We construct panel data from 4 different data sources on public merging and non‐merging U.S. manufacturing firms for 1980–2003. Instrumental variables and factors such as R&D, patents, and citations control for endogeneity. We find that mergers are positively correlated with stock‐market value and market share. 相似文献
3.
Frederik Kunze Markus Spiwoks Kilian Bizer Torsten Windels 《Managerial and Decision Economics》2018,39(4):427-446
This paper evaluates survey forecasts for crude oil prices and discusses the implications for decision makers. A novel disaggregated data set incorporating individual forecasts for Brent and Western Texas Intermediate is used. We carry out tests for unbiasedness, sign accuracy, and forecast encompassing, followed by the computation of coefficients for topically oriented trend adjustments and the Theil's U measure. We also control for the forecast horizon finding heterogeneous results. Forecasts are more precise for shorter horizons, but less accurate than the naïve prediction. For longer horizons, topically oriented trend adjustments become more pronounced, but forecasters tend to outperform the naïve predictions. 相似文献
4.
We model market integration in the Middle East and Africa by analyzing price dispersion and testing the law of one price (LOP) on highly-comparable actual local retail prices of 135 goods and services across 23 countries in the region over the period of 1990–2016. Second-generation panel estimators are applied to four price benchmarks: Regional average, South Africa, China, and US prices. Cross-regional price dispersion diminishes considerably over time up to 2008, particularly for non-tradeables around China price. The test of LOP indicates the percentage of convergent prices is highest in China price benchmark, followed by US, South Africa, and regional average benchmarks. Direct estimation of the convergence speed confirms this order. Overall, the results show evidence of increasing market integration in Middle East and Africa but it appears to be driven by global forces and, especially, the rise of China as a new economic power. The results show that some emerging market economies, such as China, can step up and promote integration while traditional economic powerhouses, such as the USA and UK, disengage from international economic relations. 相似文献
5.
Quality & Quantity - In Poland, as in many other countries, to measure inflation, expressed both by the CPI and HICP, the Laspeyres price index with weights from the base period is used. Thus... 相似文献
6.
We examine carpooling and driver responses to fuel price changes. Using a simple theoretical model, we show that traffic flows in mainline lanes unambiguously decrease when fuel prices increase, and this effect is stronger when the presence of a carpool lane provides a substitute to driving alone. In contrast, in carpool (HOV) lanes flow can either increase or decrease. These predictions are tested using 8 years of traffic flow data for 1700 locations in Los Angeles. In our preferred specification, the mean elasticity of flow with respect to fuel price is 0.136 for HOV lanes. For a 10% increase in fuel price this implies 10 additional carpools per hour, $8.8 million per year in additional congestion costs for carpoolers and $11.3 million lower costs for mainline drivers. For mainline lanes, flow elasticities are −0.083 and −0.050 for highways with and without an HOV lane. These estimates imply that the mean highway with an HOV lane experiences a 30% larger decrease in hourly flow compared to the mean highway without an HOV lane. Flows in HOV lanes show an immediate decrease following a price increase but respond positively to price increases over time, which suggests time is an important input to carpool formation. 相似文献
7.
This paper investigates the nonlinear relationship between economic policy uncertainty, oil price volatility and stock market returns for 25 countries by applying the panel smooth transition regression model. We find that oil price volatility has a negative effect on stock returns, and this effect increases with economic policy uncertainty. Furthermore, there is pronounced heterogeneity in responses. First, oil-exporting countries whose economies depend more on oil prices respond more strongly to oil price volatility than oil-importing countries. Second, stock returns of developing countries are more susceptible to oil price volatility than that of developed countries. Third, crisis plays a crucial role in the relation between oil price volatility and stock returns. 相似文献
8.
《管理科学学报(英文)》2021,6(3):312-323
Stock price crash sensitivity refers to the conditional probability of a stock crash when the market collapses. It focuses on individual stocks' sensitivity to the market crash and can affect stock pricing significantly. Although the crash sensitivity of China's stock market is very high as a whole (Weigert, 2016), different individual stocks show varying degrees of crash sensitivity. This paper, adopting the perspective of institutional investors, explores the reasons for the difference in crash sensitivity in China's stock market, and finds that: First, institutional investors' shareholdings is positively related to firms' stock price crash sensitivity. However, after dividing institutional investors into professional (represented by financial institutions) and non-professional institutional investors (represented by general legal persons), we find that only professional institutional investors' shareholdings is negatively related to firms' stock price crash sensitivity. Second, the impact of professional institutional investors on the crash sensitivity is influenced by stock liquidity and media sentiment: when the stock liquidity of listed companies is good or the media sentiment is strong, the negative impact of professional institutional investors on the crash sensitivity is accordingly high. This paper, by highlighting the investor structure, attempts a pioneering exploration of the influencing factors of the difference in stock price crash sensitivity in China. Our empirical results enrich research on stock price crash sensitivity and the heterogeneity of institutional investors. They can also serve to guide regulatory authorities' development of institutional investors and efforts to maintain market stability. 相似文献
9.
Frank H. Stephen James H. Love Derek D. Gillanders Alan A. Paterson 《Managerial and Decision Economics》1993,14(4):365-375
Using data from a telephone survey of solicitors in England and Wales, this paper presents data on the impact of deregulation on price discrimination in 27 local conveyancing markets. It is concluded that variations in price discrimination can be explained not only by differences by firm and market structure but also by systematic differences in firm conduct. In particular, the nature of the response within different markets to deregulation in the legal profession (advertising and licensed conveyancers) has a significant effect on the extent of price discrimination. 相似文献
10.
By effectively removing the differential taxation of dividends and capital gains, the 1986 Tax Reform Act provides a unique opportunity to re-examine the “tax induced clientele” explanation of ex-dividend day price behavior. The analysis indicates an increased preference for dividends and provides evidence of significant abnormal volume during the ex-dividend period, consistent with dividend induced trading activity. In addition, the level of dividend preference is found to be far greater on the organized exchanges than in OTC trading. 相似文献
11.
We present an analytical framework to investigate surprises in financial markets. The framework enables us to simultaneously identify and quantify surprises in security price data. By applying the framework to the tick-by-tick data on Japanese government bond futures prices, we find that the Bank of Japan’s introduction of quantitative and qualitative monetary easing in 2013 was one of the most surprising episodes during the period from 2005 to 2016. We also show that traders’ sensitivity to the Bank’s announcements has strengthened since the introduction of the negative interest rate policy in 2016, whereas their sensitivity to economic indicators and surveys has weakened substantially. 相似文献
12.
In light of the growing sophistication of the tools of industrial organization economics and reliance on the federal courts to resolve complicated competitive issues, it may be time for the courts to make greater use of economists in analyzing antitrust cases. While the costs of such an endeavor remain unexplored, we argue below that the benefits may be significant. In particular, we assert that the legal precedent requiring the courts to draw inferences about market power based primarily or exclusively on market shares and/or market concentration1 can often be misleading. However, the only alternative to such judge-made bright-line rules is to utilize modern economic tools to undertake more extensive competitive analyses. The latter choice is essentially the course that the antitrust enforcement agencies are following. This article explores some of the arguments in favor of such an approach. 相似文献
13.
Adrian E. Tschoegl 《Managerial and Decision Economics》1987,8(3):251-254
In this paper we test monthly mean daily returns to gold over the period January 1975 to December 1984 against three definitions of seasonality. Weak evidence exists for seasonality under the second of the three definitions. However, this is not prima facie evidence of market inefficiency, as the pattern is consistent with seasonality in Eurodollar interest rates reported by other authors. Differences in the time pattern of returns between on- and off-shore rates raises further questions. 相似文献
14.
15.
This study addresses index-dependency of empirical results associated with the purchasing power parity (PPP) relationship.
Using four key price indices involving the G-7 nations, empirical tests for long-run co-movement are conducted. A test for
linear restrictions is imposed. The speeds of adjustment are calculated for statistically significant linear combinations.
The speed of the short-run response to disequilibrium differs both within and across countries. The seven-country average
reveals that the CPI has the quickest recovery response to a one-time disturbance. The findings suggest that PPP results are
not dependent upon the choice of index when an explicit set of indices is cointegrated.(JEL F3) 相似文献
16.
We study the stable market outcome that evolves in a spatially differentiated market when price-competing firms choose actions by imitation of the most profitable firm. We compare and contrast the stable outcomes under two imitation procedures: one, where each firm immediately imitates the most profitable firm, and the other when a firm imitates another firm only if it is more profitable while being “sufficiently similar” (in context of the market segment it operates in) or “sufficiently close”. In either case, the symmetric pure strategy Nash equilibrium is always a stable outcome. However, when imitation of the most profitable firm is immediate and market differentiation is ‘moderate’, states with prices lower than the Nash equilibrium are also stable. In contrast, when imitation of the most profitable firm is more gradual and market differentiation is below a threshold, states with prices above the Nash equilibrium are also stable. Thus, while competitive evolutionary pressure in this imitation based model does result in the Nash equilibrium always being stable, other outcomes may be stable as well. Interestingly, the states that are stable under gradual imitation give the firms a higher profit than the stable states under immediate imitation. 相似文献
17.
Jaemin Kim 《Journal of Economics and Finance》2005,29(1):1-31
I examine liquidity changes associated with open market share repurchases, with the focus on potential cross-sectional variations
of liquidity effects. I hypothesize that a liquidity change, either a decrease or an increase, will be larger in a firm with
a higher degree of pre-announcement information asymmetry. Results suggest that the null hypothesis of no liquidity change
cannot be rejected. In particular, there is no evidence for cross-sectional variation of liquidity changes across firms with
differing degrees of information asymmetry.
Special/thanks go to Kim Woo Choong, former chairman of DAEWOO Group, and Park Chung Kil for their support. 相似文献
18.
Using a vector autoregressive analysis, this paper examines the structure of international transmissions in daily returns for six national stock markets— the U.S., Japan, Hong Kong, Singapore, Taiwan, and Thailand. Our results generally indicate that (1) the degree of interdependence among national stock markets has increased substantially after the 1987 stock market crash, (2) the U.S. market plays a dominant role of influencing the Pacific-Basin markets, (3) Japan and Singapore together have a significant persistent impact on the other Asian markets, and (4) the markets in Taiwan and Thailand are not efficient in processing international news. 相似文献
19.
Using daily data from March 16, 2011, to September 9, 2019, we explore the dynamic impact of the oil implied volatility index (OVX) changes on the Chinese stock implied volatility index (VXFXI) changes and on the USD/RMB exchange rate implied volatility index (USDCNYV1M) changes. Through a TVP-VAR model, we analyse the time-varying uncertainty transmission effects across the three markets, measured by the changes in implied volatility indices. The empirical results show that the OVX changes are the dominant factor, which has a positive impact on the USDCNYV1M changes and the VXFXI changes during periods of important political and economic events. Moreover, USDCNYV1M changes are the key factor affecting the impact of OVX changes on VXFXI changes. When the oil crisis, exchange rate reform, and stock market crash occurred during 2014–2016, the positive effects of uncertainty transmission among the oil market, the Chinese stock market, and the bilateral exchange rate are significantly strengthened. Finally, we find that the positive effects are significant in the short term but diminish over time. 相似文献
20.
The majority of share buybacks in Vietnam involve the sole stated purpose of price stabilization. Using a sample of repurchases announced in 2008–2016 and control firms based on propensity score matching, we find the Vietnamese repurchases to be effective in stabilizing prices and enhancing liquidity. Utilizing the special disclosure features in Vietnam that allow clearly-defined sub-windows of pre-trading, trading, and post-trading, we further examine the different mechanisms of market reactions and actual firm buyback transactions in the buyback process. We document significantly higher abnormal returns over the pre-trading window driven by market reactions, and improved liquidity and reduced volatility over the firm’s actual transaction window for the buyback firms. We also report a significant moderating effect of target shares announced and actual shares repurchased depending on the sub-window under examination. We do not find any evidence of effectiveness in the post-trading window or over a longer-term beyond the buyback period. 相似文献