Capital account liberalization and dynamic price discovery: evidence from Chinese cross-listed stocks

We analyse the effects of a recent financial reform (Shanghai-Hong Kong Stock Connect) that enables cross-market investment between Hong Kong and Shanghai stock exchanges. Using a VECM, we find that the reform announcement considerably narrows the equilibrium level of price disparity and strengthens the price comovement of shares that are cross-listed in both markets. The estimated equilibrium relationship is in support of the relative law of one price. We find that both markets adjust in response to a disequilibrium in price disparity, leading to a sizeable error correction activity. The Shanghai market contributes to approximately two-thirds of the price discovery process. Competition and informativeness of trading affect the relative role of price discovery in each market. Finally, the reform implementation reinforces the long-run cointegration relationship and strengthens the short-run price comovements of cross-listed stocks despite the widening price disparity during the period.     

Von Thünen's model of the dual economy

We are indebted to Heinz König, John Mellor, and Hans van Beek, and to three anonymous referees of the journal for helpful comments, and to Victoria Dalko for her able research assistance. Financial assistance from the Foerder Institute for Economic Research and the International Food Policy Research Institute is gratefully acknowledged. A version of the paper also appears as Working Paper No. 989 of the Foerder Institute and Discussion Paper No. A 269 of the University of Bonn.     

Corporate groups,liquidity, and overinvestment by Belgian firms quoted on the Brussels stock exchange

For a sample of large Belgian non-financial firms quoted on the Brussels stock exchange, it is found that investment of firms borrowing on an internal capital market is not determined by internal cash flow, while cash flow has a significant effect on investment for the other firms in the sample. Further analysis indicates that the cash flow effect is caused by overinvestment, not by financing constraints. No evidence is found that firms borrowing on an internal capital market in turn transfer surpluses of funds to other group members by investing in financial fixed assets. © 1998 John Wiley & Sons, Ltd.     

Does Working Capital Management Affect Profitability of Belgian Firms?

The relation between working capital management and corporate profitablity is investigated for a sample of 1,009 large Belgian non-financial firms for the 1992-1996 period. Trade credit policy and inventory policy are measured by number of days accounts receivable, accounts payable and inventories, and the cash conversion cycle is used as a comprehensice measure of working capital management. The results suggest that managers can increase corporate profitablity by reducing the number of days accounts receivable and inventories. Less profitable firms wait longer to pay their bills.     

A Recursive Scheme for Perpetuities with Random Positive Interest Rates. II: The Impenetrable Wall

In some former contributions, the authors investigated actuarial quantities with stochastic interest rates. In a first model, the randomness is modelled by means of an ordinary Wiener process, and as a consequence negative interest rates are possible. A second model provides a tool to avoid these negative interest rates, which can be necessary in particular situations. This paper wants to present an alternative solution to the problem of negative interest rates. This new model will be implemented to the case of an annuity certain and of a perpetuity.     

Macroeconomic News and Mortgage Rates

The study analyzes the influence of macroeconomic news announcements on (a) interest rates for commercial mortgages, residential mortgages, 10-year Treasury notes, and Baa-rated corporate bonds; and (b) corresponding mortgage spreads. It is both interesting and highly relevant from a policy and portfolio management standpoint to examine the implications of the influence of macroeconomic news announcements on mortgage markets. Some important results are reported. First, consistent with the notion of market integration, mortgage rates are found to be co-integrated with other capital market instruments. Second, of the 22 types of periodic macroeconomic news releases considered, 13 of them have a significant influence on at least one of the interest rates, and notably changes in hourly earnings and housing starts significantly influence all debt-security yields. More generally, macroeconomic news that conveys higher inflation and/or economic growth has a positive influence on mortgage and other interest rates. Finally, this study finds several announcements including durable goods orders, new home sales, personal consumption, non-farm payroll, trade balance and Treasury budget to have a significant influence on mortgage spreads.     

Managerial compensation

We review the existing literature on managerial compensation, with particular reference to the two contrasting views about its main driver. On the one hand, managerial compensation is seen to be the result of a market-based mechanism which ensures that managers have adequate incentives to maximize shareholder value. On the other hand, it is regarded to be a means whereby self-serving executives skim corporate profits and expropriate shareholders. We find that most of the existing literature supports the latter view as executives tend to benefit from windfall earnings and are able to extract rents in the presence of weak corporate governance.     

The impact of development of customer online banking skills on customer adviser skills

The object of this article is the development of customer banking skills as a result of using online banking and its impact on the competence of customer advisers in face‐to‐face customer contacts. The main results show that online banking enables customers to develop a range of banking skills.     

The Impact of Macroeconomic Announcements on Stock Prices: In Search of State Dependence

Federal bureaus make regularly scheduled public announcements of macroeconomic variables such as employment, the price level, and the money stock. Recently, several studies claim to establish an empirical relationship between the impact of these announcements on financial markets and the state of the business cycle. The present article estimates the impact of several announcement variables on daily closing values of the Standard and Poor's (S&P) 500. Contrary to previous studies, this study finds no significant evidence that the marginal effects of announcements vary with the state of the economy.     

Consumer@Protection.EU. An Analysis of European Consumer Legislation in the Information Society

The Internet and electronic commerce have emerged as the emblems of a worldwide virtual economy. Although it is yet difficult to grasp all the repercussions of the borderless world of the Internet, it is certain that to shop in this world is different from shopping in the world as we knew it ten years ago. Obviously, the new developments affect the traditional framework of European and national consumer law and the perspectives that underpin this body of law, for most consumer law was established at a time when the Information Society was an unknown phenomenon. Underlining the importance of this issue, the European Council asked the Commission to examine existing consumer law in the Community in the light of the new conditions created by the Information Society and to identify potential problems and loopholes. A report on background research for this examination was submitted to the Commission in August 2000. The present article is based on this report and provides an account of the main findings, conclusions, and recommendations of the report.