Liquidity and the marginal value of information

We revisit Kyle’s (Econometrica 53:1315–1335, 1985) model of price formation in the presence of private information. We begin by using Back’s (Rev Financ Stud 5(3):387–409, 1992) approach, demonstrating that if standard assumptions are imposed, the model has a unique equilibrium solution and that the insider’s trading strategy has a martingale property. That in turn implies that the insider’s strategies are linear in total order flow. We also show that for arbitrary prior distributions, the insider’s trading strategy is uniquely determined by a Doob $h$ -transform that expresses the insider’s informational advantage. This allows us to reformulate the model so that Kyle’s liquidity parameter $\lambda $ is characterized by a Lagrange multiplier that is the marginal value or shadow price of information. Based on these findings, we can then interpret liquidity as the marginal value of information.     

Firm growth and innovation

In recent years, there has been an increase in empirical and theoretical work that addresses the role of innovation as one of the main sources of firm growth. The purpose of this special issue is to strengthen the role played by innovation as a determinant of firm growth. Despite the emergence of a vast empirical literature on whether innovative firms grow more quickly in terms of sales and employees, a number of crucial questions and answers remain. While a large number of applied papers observe a positive link between innovation and firm growth, the complexity of R&D activities, together with the diversity of innovation strategies and the multiplicity of growth modes, requires a multidimensional approach to examine the contribution of innovations on firm growth. To shed light on the link between firm’ growth and innovation sources, we organized a meeting of leading scholars of firm’ growth and innovation. The papers of this special issue were presented at the workshop on ‘Firm growth and innovation’ held on 28 and 29 June, 2012, in Tarragona, Spain. The papers that compose this special issue deal in depth with innovation activity, firm growth and the interaction between firm growth and innovation.     

The impact of auctions on residential property prices

This study assesses whether the sale method in residential real estate markets – auction versus private treaty – is a determinant of sale price. Utilising a larger and richer dataset than previous research, we test for a price effect in auction sales in Sydney and Christchurch. When self‐selection biases are corrected for, using two‐stage hedonic regression analysis and a matched sampling procedure, we find no significant difference between prices of properties sold at auction to those sold by private treaty. This conflicts with the conclusions of previous research in the Australian and New Zealand housing markets, which have documented a price premium associated with auction sales.     

An Intertemporal Currency Board

The paper shows that the traditional wisdom of raising interest rates to defend a currency enriches rather than punishes the speculators. Furthermore, using high interest rates as a currency defense tool often produces the opposite effect in times of crisis. A new approach is proposed of using Hong Kong dollar "put" options as an explicit commitment by the government. The put option itself acts like an intertemporal currency board in keeping the linked exchange rate over time. This costly signaling produces a separating equilibrium that distinguishes the strength of the Hong Kong dollar from the other Asian currencies that were under pressure in 1997.     

Volatility forecasting of exchange rate by quantile regression

Exchange rates are known to have irregular return patterns; not only their return volatilities but the distribution functions themselves vary with time. Quantile regression allows one to predict the volatility of time series without assuming an explicit form for the underlying distribution. This study presents an approach to exchange rate volatility forecasting by quantile regression utilizing a uniformly spaced series of estimated quantiles. Based on empirical evidence of nine exchange rate series, using 19 years of daily data, the adopted approach generally produces more reliable volatility forecasts than other key methods.     

Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly

Using both semiparametric and parametric estimation methods, this paper corroborates earlier findings of fractionally integrated behaviour in the forward premium. Two new explanations are also proposed to help reconcile earlier conflicting empirical evidence on the time series properties of the forward premium. Traditional regression approaches used to test the forward rate unbiasedness hypothesis are then evaluated, including regression in levels, in returns (Fama's, 1984 , regression), and in error‐correction format. Interesting statistical and/or interpretive implications are found in all three cases. For example, the predictions of the appropriate nonstandard limit theory are consistent with many of the standard empirical results reported from Fama's regression, including the commonly occurring, yet puzzling negative correlations between spot returns and the forward premium. It is suggested that the principal failure of unbiasedness, may be due instead to the difference in persistence between these two series. Copyright © 2001 John Wiley & Sons, Ltd.     

Congestion, Land Use, and Job Dispersion: A General Equilibrium Model

In dispersed cities, congestion tolls would drive up central wages and rents and would induce centrally located producers to want to disperse closer to their workers and their customers, paying lower rents and realizing productivity gains from land to labor substitution. But the tolls would also induce residents to want to locate more centrally in order to economize on commuting and shopping travel. In a computable general equilibrium model, we find that the centralizing effect of tolls on residences dominates on the decentralizing effect of tolls on firms, causing the dispersed city to have more centralized job and population densities. Under stylized parameters, we find that efficiency gains from levying congestion tolls on work and shopping travel are 3.0% of average income. About 80% of such gains come from road planning and 20% from tolls.     

Walgreens重回时代广场“斜线”令世界十字路口耳目一新

巴里温斯顿(Barry Winston),这名专门负责时代广场的标志专家说:“Walgreens已经为入驻时代广场做出了一个新的构想,其中包括一个令人惊叹的LED显示屏,那将是迄今为止在时代广场出现过的最大,最独特的LED显示屏。“     

情定迈阿密——Coppertone女孩和她的小狗标识重新闪耀

这是和Andy Warhol的汤罐一样出名的标志。12月的迈阿密,晴朗的夜晚,Jerry Begins微笑的看着全面翻修的Coppertone女孩带着淘气的咬着她泳衣的可卡犬再次回到城市的MIMO区。Jerry的父亲有家公司Tropicalites,最初是建造和安装标志符号,帮助协调和宣传防晒产品的标志,现在位于比斯坎湾大道北侧7300.     

金融业的成功 从事金融服务的人同样能够在招牌行业取得新的成功

“一旦拥有了所有的技术和资源,那么是时候开设一家招牌商店了。“十年前.世纪招牌制作公司(美国新墨西哥,阿尔伯克基州)在圣菲的一个小村庄里进行了改造.并于1932年进行了一次大规模的整修,具备了一个完整的环保图形软件包,其中包括,建筑证明、房间号码牌、指路标志,以及其它的一些圈形设施等。